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Part I, “Foundations,” develops the fundamentals tools of analysis used in Part II and Part III.
These tools span such disparate topics as classical portfolio selection, dynamic consumptionand
production- based asset pricing, in both discrete and continuous-time, the intricacies underlying
incomplete markets and some other market imperfections and, finally, econometric
tools comprising maximum likelihood, methods of moments, and the relatively more modern
simulation-based inference methods.
Part II, “Asset pricing and reality,” is about identifying the main empirical facts in finance and
the challenges they pose to financial economists: from excess price volatility and countercyclical
stock market volatility, to cross-sectional puzzles such as the value premium. This second part
reviews the main models aiming to take these puzzles on board.
Part III, “Applied asset pricing theory,” aims just to this: to use the main tools in Part I and
cope with the main challenges occurring in actual capital markets, arising from option pricing
and trading, interest rate modeling and credit risk and their associated derivatives. In a sense,
Part II is about the big puzzles we face in fundamental research, while Part III is about how
to live within our current and certainly unsatisfactory paradigms, so as to cope with demand
for intellectual expertise.
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