Asset pricing
Material type: TextPublication details: Princeton, N.J. : Princeton University Press, ©2010.Edition: Rev. edDescription: xvii, 533 p. : ill. ; 24 cmISBN:- 9788122431247
- 332.6 22 COC-A
- HG4636 .C56 2005
Item type | Current library | Collection | Call number | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|---|
Books | IIITD General Stacks | Economics | 332.6 COC-A (Browse shelf(Opens below)) | Available | 007402 |
Browsing IIITD shelves, Shelving location: General Stacks, Collection: Economics Close shelf browser (Hides shelf browser)
332.6 BOD-I Investments | 332.6 CAR-S Systematic trading : | 332.6 CHH-A The aspirational investor : | 332.6 COC-A Asset pricing | 332.6 DEB-F Fallen angel : | 332.6 DEM-I Introduction to private equity : | 332.6 DUN-A Applied quantitative methods for trading and investment |
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.