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Advanced Asset Pricing Theory

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  • Chenghu Ma

    (Fudan University, China)

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    Abstract

    This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black–Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.

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    Bibliographic Info

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    This book is provided by World Scientific Publishing Co. Pte. Ltd. in its series World Scientific Books with number p745 and published in 2011.

    Volume: 2
    ISBN: 9781848166325
    Handle: RePEc:wsi:wsbook:p745

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    Web page: http://ebooks.worldscinet.com/

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    Related research

    Keywords: Asset Pricing; Financial Market; Mathematical Finance; Portfolio Risk Management; Stochastic Modeling in Finance; Option Pricing; Term Structure of Interest Rates;

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