The aim of this Ph.D. course is to provide an introduction to asset pricing under asymmetric information. Module I introduces students to rational expectations models and strategic market microstructure models, especially insider trading and sequential trade models. It also highlights the role of higher order uncertainty and knowledge and outlines no-trade theorems. Module II pays explicit attention to models of bubbles and limits to arbitrage. Herding models form part of this module. Module III outlines with recent liquidity models that have important implications for risk management and systemic risk measurement. Finally, Module IV focuses on recent models at the intersection between macroeconomics, monetary economics and finance.