Обкладинка - м"яка

Рік видання - 2007

Кількість сторінок - 457

Папір - білий, офсет

Theory of Asset Pricing

unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing.

Single-Period Portfolio Choice and Asset Pricing:

Expected Utility and Risk Aversion; Mean-Variance Analysis; CAPM, Arbitrage, and Linear Factor Models; Consumption-Savings and State Pricing;

Multiperiod Consumption, Portfolio Choice, and Asset Pricing:

A Multiperiod Discrete Time Model of Consupmtion; Multiperiod Market Equilibrium;

Contingent Claims Pricing:

Basics of Derivative Pricing; Essentials of Diffusion Processes and Itô’s Lemma; Dynamic Hedging and PDE Valuation; Arbitrage, Martingales, Pricing Kernels; Mixing Diffusion and Jump Processes;

Asset Pricing in Continuous Time:

Continuous-Time Consumption and Portfolio Choice; Equilibrium Asset Returns; Time-Inseparable Utility;

Additional Topics in Asset Pricing:

Behavioral Finance and Asset Pricing; Asset Pricing with Differential Information; Models of the Term Structure of Interest Rates; Models of Default Risk.

MESSAGE:

For all readers interested in asset valuation.

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