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Theory of asset pricing
Autor: Pennacchi, George Gaetano
Rok: 2008
ISBN: 9780321127204
OKCZID: 110666826
Citace (dle ČSN ISO 690):
PENNACCHI, George Gaetano. Theory of asset pricing. Boston: Pearson/Addison Wesley, 2008. xvii, 457 s. Addison-Wesley series in finance.
Anotace
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. 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. For all readers interested in asset valuation.
Zdroj anotace: OKCZ - ANOTACE Z WEBU