Finance Theory and Asset Pricing / Edition 2

Finance Theory and Asset Pricing / Edition 2

by Frank Milne
     
 

ISBN-10: 0199261075

ISBN-13: 9780199261079

Pub. Date: 03/28/2003

Publisher: Oxford University Press, USA


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…  See more details below

Overview


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 multi-period 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.

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Product Details

ISBN-13:
9780199261079
Publisher:
Oxford University Press, USA
Publication date:
03/28/2003
Edition description:
REV
Pages:
248
Product dimensions:
8.40(w) x 5.40(h) x 0.60(d)

Table of Contents

Introduction
1. A Brief History of Finance Theory
Part I: The One Period Model
2. Two Date Models: Complete Markets
3. Incomplete Markets with Production
4. Arbitrage and Asset Pricing: Induced Preference Approach
5. Martingale Pricing Methods
6. Representative Consumers
7. Diversification and Asset Pricing
Part II: The Basic Multiperiod Model
8. Multiperiod Asset Pricing: Complete Markets
9. General Asset Pricing in Complete Markets
10. Multiperiod Asset Pricing: Incomplete Asset Markets
Part III: The General Multiperiod Model
11. The General Model and Asset Price Characterization
12. Arbitrage and Discounting Formulae
13. Pareto Optimality
14. Orthonormal Bases, Factor Pricing, and Multi-Beta Asset Pricing
15. Idiosyncrasies that are Irrelevant for Security Pricing
16. Discrete Stochastic Integrals and Multiperiod Factor Pricing
17. Fiat Money as an Asset, Nominal Assets, and International Finance
18. Extensions to the Basic Model

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