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OverviewThis 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. Full Product DetailsAuthor: Frank Milne (, Bank of Montreal Professor of Economics and Finance, Queen's University, Ontario)Publisher: Oxford University Press Imprint: Oxford University Press Edition: 2nd Revised edition Dimensions: Width: 14.10cm , Height: 1.80cm , Length: 22.40cm Weight: 0.421kg ISBN: 9780199261062ISBN 10: 0199261067 Pages: 246 Publication Date: 20 March 2003 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: To order Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us. Table of ContentsIntroduction 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 ModelReviewsAuthor InformationFrank 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. Tab Content 6Author Website:Countries AvailableAll regions |