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Asset pricing

Author: John H Cochrane
Publisher: Princeton, N.J. : Princeton University Press, ©2001.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
"Written to be a summary for academics and professionals as well as a textbook for advanced graduate students, this book condenses and advances recent scholarship in financial economics."--Jacket.
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: John H Cochrane
ISBN: 0691074984 9780691074986
OCLC Number: 45320635
Description: xvi, 530 pages : illustrations ; 24 cm
Contents: pt. I. Asset Pricing Theory. 1. Consumption-Based Model and Overview. 2. Applying the Basic Model. 3. Contingent Claims Markets. 4. The Discount Factor. 5. Mean-Variance Frontier and Beta Representations. 6. Relation between Discount Factors, Betas, and Mean-Variance Frontiers. 7. Implications of Existence and Equivalence Theorems. 8. Conditioning Information. 9. Factor Pricing Models --
pt. II. Estimating and Evaluating Asset Pricing Models. 10. GMM in Explicit Discount Factor Models. 11. GMM: General Formulas and Applications. 12. Regression-Based Tests of Linear Factor Models. 13. GMM for Linear Factor Models in Discount Factor Form. 14. Maximum Likelihood. 15. Time Series, Cross-Section, and GMM/DF Tests of Linear Factor Models. 16. Which Method? --
pt. III. Bonds and Options. 17. Option Pricing. 18. Option Pricing without Perfect Replication. 19. Term Structure of Interest Rates --
pt. IV. Empirical Survey. 20. Expected Returns in the Time Series and Cross Section. 21. Equity Premium Puzzle and Consumption-Based Models --
pt. V. Appendix --
App. Continuous Time.
Responsibility: John H. Cochrane.
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Abstract:

This volume studies the science of asset pricing - The determination of the values of risky securities such as stocks, bonds, options, futures, and deriviatives. The author traces the pricing of all  Read more...

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"This is an impressive treatise of very high quality. It is a serious scholarly monograph, of interest to those who are working to advance financial theory, and it can also serve as a textbook in an Read more...

 
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