Advanced Asset Pricing Theory
DOWNLOAD
Download Advanced Asset Pricing Theory PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Advanced Asset Pricing Theory book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Advanced Asset Pricing Theory
DOWNLOAD
Author : Chenghu Ma
language : en
Publisher: World Scientific Publishing Company
Release Date : 2011-01-03
Advanced Asset Pricing Theory written by Chenghu Ma and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-03 with Business & Economics categories.
This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black-Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.
Financial Asset Pricing Theory
DOWNLOAD
Author : Claus Munk
language : en
Publisher: Oxford University Press
Release Date : 2013-04-18
Financial Asset Pricing Theory written by Claus Munk and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-18 with Business & Economics categories.
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Advanced Asset Pricing Theory
DOWNLOAD
Author : Chenghu Ma
language : en
Publisher: World Scientific
Release Date : 2011
Advanced Asset Pricing Theory written by Chenghu Ma and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset pricing for being both advanced and comprehensive. The absence of arbitrage opportunities represents a necessary condition for equilibrium in the financial markets. However, the absence of arbitrage is not a sufficient condition for establishing equilibrium. These interrelationships are overlooked by the proponents of the no-arbitrage approach to asset pricing.This book also tackles recent advancement on inversion problems raised in asset pricing theory, which include the information role of financial options and the information content of term structure of interest rates and interest rates contingent claims.The inclusion of the proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory made it an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The detailed explanations will capture the interest of the curious reader, and it is complete enough to provide the necessary background material needed to delve deeper into the subject and explore the research literature.Postgraduate students in economics with a good grasp of calculus, linear algebra, and probability and statistics will find themselves ready to tackle topics covered in this book. They will certainly benefit from the mathematical coverage in stochastic processes and stochastic differential equation with applications in finance. Postgraduate students in financial mathematics and financial engineering will also benefit, not only from the mathematical tools introduced in this book, but also from the economic ideas underpinning the economic modeling of financial markets.Both these groups of postgraduate students will learn the economic issues involved in financial modeling. The book can be used as an advanced text for Masters and PhD students in all subjects of financial economics, financial mathematics, mathematical finance, and financial engineering. It is also an ideal reference for practitioners and researchers in the subjects.
Asset Pricing Theory
DOWNLOAD
Author : Costis Skiadas
language : en
Publisher: Princeton University Press
Release Date : 2009-02-09
Asset Pricing Theory written by Costis Skiadas and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-09 with Business & Economics categories.
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Empirical Asset Pricing
DOWNLOAD
Author : Wayne Ferson
language : en
Publisher: MIT Press
Release Date : 2019-03-12
Empirical Asset Pricing written by Wayne Ferson and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-12 with Business & Economics categories.
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Continuous Time Asset Pricing Theory
DOWNLOAD
Author : Robert A. Jarrow
language : en
Publisher: Springer
Release Date : 2018-06-04
Continuous Time Asset Pricing Theory written by Robert A. Jarrow and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-04 with Mathematics categories.
Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD–level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the Black–Scholes–Merton, the Heath–Jarrow–Morton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds.
A Behavioral Approach To Asset Pricing
DOWNLOAD
Author : Hersh Shefrin
language : en
Publisher: Elsevier
Release Date : 2005-02-03
A Behavioral Approach To Asset Pricing written by Hersh Shefrin and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-02-03 with Business & Economics categories.
A Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It constructs a solid, intact structure that challenges classic assumptions and at the same time provides a strong theory and efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author provides a general behaviorally based intertemporal treatment of asset pricing theory that extends to the discussion of derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book develops a series of examples to illustrate the theoretical results. The CD-ROM contains most of the examples, worked out as Excel spreadsheets, so that a diligent reader can follow them through. Instructors might also want to use the examples to assign class exercises, asking students to modify the numbers and see what happens. * The first book to focus completely on how behavioral finance principles affect asset pricing * Hersh Shefrin is a recognized expert in behavioral finance * Behavioral finance is a growth area in finance scholarship and moving more and more into practice
Financial Markets Theory
DOWNLOAD
Author : Emilio Barucci
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Financial Markets Theory written by Emilio Barucci and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Financial Markets Theory presents classical asset pricing theory, a theory composed of milestones such as portfolio selection, risk aversion, fundamental asset pricing theorem, portfolio frontier, CAPM, CCAPM, APT, the Modigliani-Miller Theorem, no arbitrage/risk neutral evaluation and information in financial markets. Starting from an analysis of the empirical tests of the above theories, the author provides a discussion of the most recent literature, pointing out the main advancements within classical asset pricing theory and the new approaches designed to address open problems (e.g. behavioural finance). It is the only textbook to address the economic foundations of financial markets theory from a mathematically rigorous standpoint, and to offer a self-contained critical discussion, based on empirical results. Financial Markets Theory is an advanced book, well-suited for a first graduate course in financial markets, economics or financial mathematics. It is self-contained and introduces topics in a setting accessible to economists and practitioners equipped with a basic mathematical background. For those not acquainted with standard microeconomic theory, the tools needed to follow the analysis are presented early in the book. The approach makes this a vital handbook for practitioners in insurance, banking, investment funds and financial consultancy, as well as an excellent graduate-reference textbook.
Advanced Asset Pricing Theory
DOWNLOAD
Author : Chenghu Ma
language : en
Publisher:
Release Date : 2011
Advanced Asset Pricing Theory written by Chenghu Ma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Electronic books categories.
Asset Pricing
DOWNLOAD
Author : John H. Cochrane
language : en
Publisher: Princeton University Press
Release Date : 2009-04-11
Asset Pricing written by John H. Cochrane and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-11 with Business & Economics categories.
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea—price equals expected discounted payoff—that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model—consumption based, CAPM, multifactor, term structure, and option pricing—is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.