Finance Theory and Asset Pricing
Second Edition
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Product details:
- Edition number 2
- Publisher OUP Oxford
- Date of Publication 20 March 2003
- ISBN 9780199261079
- Binding Paperback
- No. of pages246 pages
- Size 215x139x13 mm
- Weight 346 g
- Language English 0
Categories
Short description:
This book provides a concise guide to financial asset pricing theory. Assuming a basic knowledge of graduate microeconomics, it explores the fundamental ideas underlying competitive financial asset pricing models with symmetric information. Using finite dimensional techniques, the book avoids sophisticated continuous time mathematics and exploits economic theory to clarify the essential structure of recent research in asset pricing models. This new edition introduces a number of new ideas and extensions, especially to multi-period analysis, that allow discussion of recent models appearing in the literature.
MoreLong description:
Finance Theory and Asset Pricing provides a concise guide to financial asset pricing theory for economists. Assuming a basic knowledge of graduate microeconomic theory, it explores the fundamental ideas that underlie competitive financial asset pricing models with symmetric information. Using finite dimensional techniques, this book avoids sophisticated mathematics and exploits economic theory to clarify the essential structure of recent research in asset pricing. In particular, it explores arbitrage pricing models with and without diversification, Martingale pricing methods, and representative agent pricing models; discusses these ideas in two-date and multi-date models; and provides a range of examples from the literature.
This second edition includes a new section dealing with more advanced multiperiod models. In particular it considers discrete factor structure models that mimic recent continuous time models of interest rates, money, and nominal rates and exchange rates. Additional sections sketch extensions to real options and transaction costs.
Table of Contents:
Introduction
A Brief History of Finance Theory
Part I: The One Period Model
Two Date Models: Complete Markets
Incomplete Markets with Production
Arbitrage and Asset Pricing: Induced Preference Approach
Martingale Pricing Methods
Representative Consumers
Diversification and Asset Pricing
Part II: The Basic Multiperiod Model
Multiperiod Asset Pricing: Complete Markets
General Asset Pricing in Complete Markets
Multiperiod Asset Pricing: Incomplete Asset Markets
Part III: The General Multiperiod Model
The General Model and Asset Price Characterization
Arbitrage and Discounting Formulae
Pareto Optimality
Orthonormal Bases, Factor Pricing, and Multi-Beta Asset Pricing
Idiosyncrasies that are Irrelevant for Security Pricing
Discrete Stochastic Integrals and Multiperiod Factor Pricing
Fiat Money as an Asset, Nominal Assets, and International Finance
Extensions to the Basic Model
