This course is intended to provide a sound understanding of theoretical and empirical aspects of security markets. The first part covers essential infromation on the the nature of financial securities and the architecture of markets. The examples of stock exchange and foreign exchange market will be analyzed. It also provides a brief review of fixed income securities. The second part is a brief introduction to stylized facts in finance, and focus on the statistical properties of price dynamics. The third part on asset pricing starts with an introduction to expected utility theory and covers Mean-variance valuation, Capital Asset Pricing Model, and Arbitrage Pricing Theory.