Finance Theory and Asset Pricing / Edition 2

by Frank Milne

Overview

Finance Theory and Asset Pricing 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, this 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 multi-period 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.

Product Details

ISBN-13:	9780199261079
Publisher:	Oxford University Press
Publication date:	05/29/2003
Series:	Vienna Institute for Advanced Studies
Edition description:	REV
Pages:	246
Product dimensions:	8.40(w) x 5.40(h) x 0.60(d)

About the Author

Queen's University, Ontario

Table of Contents

Introduction1. A Brief History of Finance TheoryPart I: The One Period Model2. Two Date Models: Complete Markets3. Incomplete Markets with Production4. Arbitrage and Asset Pricing: Induced Preference Approach5. Martingale Pricing Methods6. Representative Consumers7. Diversification and Asset PricingPart II: The Basic Multiperiod Model8. Multiperiod Asset Pricing: Complete Markets9. General Asset Pricing in Complete Markets10. Multiperiod Asset Pricing: Incomplete Asset MarketsPart III: The General Multiperiod Model11. The General Model and Asset Price Characterization12. Arbitrage and Discounting Formulae13. Pareto Optimality14. Orthonormal Bases, Factor Pricing, and Multi-Beta Asset Pricing15. Idiosyncrasies that are Irrelevant for Security Pricing16. Discrete Stochastic Integrals and Multiperiod Factor Pricing17. Fiat Money as an Asset, Nominal Assets, and International Finance18. Extensions to the Basic Model

Editorial Reviews

"The book successfully meets the overall objective of presenting an integrated view of arbitrage and equilibrium in asset pricing models. The main strengths of the present volume are its compactness and fairly wide coverage of the important concepts of financial markets."—Journal of Economic Literature

From the Publisher