Theory of Asset Pricing
| Author | : | |
| Rating | : | 4.51 (905 Votes) |
| Asin | : | 032112720X |
| Format Type | : | paperback |
| Number of Pages | : | 400 Pages |
| Publish Date | : | 2014-08-14 |
| Language | : | English |
DESCRIPTION:
From the Back CoverTheory of Asset Pricingunifies 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 Cons
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.. 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
Finance Theory W Introductory approach to asset pricing theory presented for various levels of students. Provides a good template for teaching Investments Ph.D. or M.S. theory course.. Five Stars Yuan Chen good. Pavlina said Excellent book. I spent a semester reading this book in detail and I must say it is really good. That's because it strikes a perfect balance between mathematical rigor and easiness of reading. There are many other financial economics texts that cover similar or the same topics but I think none of them are as readable as this one. Pennacchi does a great job at presenting the material in a very logical and coherent manner. There are no conceptual jumps, you will never ask yourself "Where did this come from?" and all the math required to understand the book is explained in detail. The author starts in the first cha
George G. Office of Management and Budget, the World Bank, and the International Monetary Fund. He has been a visiting professor at Università Bocconi in Milan, Italy, and was a member of the finance faculty at the Wharton School of the University of Pennsylvania. Mr. Pennacchi is a professor of finance and a co-director of the Office for Banking Research at the University of Illinois at Urbana-Champaign. He is also a Researc