Finance Theory and Asset Pricing / Edition 2

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Overview

This book provides a concise guide to financial asset pricing theory. 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, representative agent pricing models; discusses these ideas in two date and multi-date models; and provides a range of examples from the literature.

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Product Details

  • ISBN-13: 9780199261079
  • Publisher: Oxford University Press, USA
  • Publication date: 3/28/2003
  • Edition description: REV
  • Edition number: 2
  • Pages: 248
  • Product dimensions: 8.40 (w) x 5.40 (h) x 0.60 (d)

Meet the Author

Queen's University, Ontario
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Table of Contents

Introduction 1
1 A Brief History of Finance Theory 5
2 Two-Date Models: Complete Markets 16
3 Incomplete Markets with Production 31
4 Arbitrage and Asset Pricing: Induced Preference Approach 41
5 Martingale Pricing Methods 55
6 Representative Consumers 65
7 Diversification and Asset Pricing 76
8 Multiperiod Asset Pricing: Complete Markets 86
9 General Asset Pricing in Complete Markets 98
10 Multiperiod Asset Pricing: Incomplete Asset Markets 109
11 The General Model and Asset-Price Characterization 124
12 Arbitrage and Discounting Formulae 133
13 Pareto Optimality 146
14 Orthonormal Bases, Factor Pricing, and Multibeta Asset Pricing 158
15 Idiosyncrasies that are Irrelevant for Security Pricing 182
16 Discrete Stochastic Integrals, Multiperiod Factor Pricing, and Continuous-Time Models 187
17 Fiat Money as an Asset, Nominal Assets, and International Finance 198
18 Transaction Costs, American and Real Options 213
Bibliography 224
Index 233
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