The course aims to educate students on the foundations of asset pricing.It  will be taught in two parts. By the end of the course, students will have become familiar with standard tools used in theoretical and empirical asset pricing and market microstructure models. Part I will cover the foundations of the expected utility paradigm, portfolio choice, the concept of the stochastic discount factor (SDF), and asset pricing models (CAPM, CCAPM, APT).  Applications from the empirical asset pricing literature will also be presented. Part II will extend part I and will also provide an overview of market microstructure models.