Amazon cover image
Image from Amazon.com

Asset pricing

By: Material type: TextTextPublication details: Princeton, N.J. : Princeton University Press, ©2010.Edition: Rev. edDescription: xvii, 533 p. : ill. ; 24 cmISBN:
  • 9788122431247
Subject(s): DDC classification:
  • 332.6 22 COC-A
LOC classification:
  • HG4636 .C56 2005
Online resources:
Contents:
Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
Books Books IIITD General Stacks Economics 332.6 COC-A (Browse shelf(Opens below)) Available 007402
Total holds: 0

Includes bibliographical references (p. 497-511) and indexes.

Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma

There are no comments on this title.

to post a comment.
© 2024 IIIT-Delhi, library@iiitd.ac.in