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Professor André FARBER
Solvay Business School

Université Libre de Bruxelles

PhD Program
Microfoundations of Financial Economics

August 2005

This course will taught over a short period of 5 days. The objective is to give an overview of modern asset valuation.
Time being limited, I will skip technical details so as to give an overview of the field.

Course outline
Excel tips

Slides and programs
Session 1.1: Empirical challenges
Session 1.2: From Fisher to Arrow-Debreu
Problem set: PS1
Excel file: COMAK
Matlab file: MAP (Modern Asset Pricing)

Session 2: General equilibrium under uncertainty
Problem set: PS2
Excel file: GEMU (General Equilibrium Model under Uncertainty)

Session 3: CAPM
Problem set: PS3
Excel file: CAPM
Excel file: Efficient frontier calculation
Matlab file: Efficient frontier calculation

Session 4: Incomplete markets