Finance Theory and Asset Pricing
Oxford University Press (Verlag)
978-0-19-926106-2 (ISBN)
This text 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, the 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.
Frank Milne has taught at the University of Rochester, Australian National University, and Australian Graduate School of Management, and is currently Bank of Montreal Professor of Economics and Finance at Queen's University, Canada. He has published extensively in academic economics and finance journals.
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
| Erscheint lt. Verlag | 1.4.2003 |
|---|---|
| Verlagsort | Oxford |
| Sprache | englisch |
| Maße | 141 x 224 mm |
| Gewicht | 421 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| Wirtschaft ► Volkswirtschaftslehre ► Mikroökonomie | |
| ISBN-10 | 0-19-926106-7 / 0199261067 |
| ISBN-13 | 978-0-19-926106-2 / 9780199261062 |
| Zustand | Neuware |
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