Finance Theory and Asset Pricing: Second Edition by Frank Milne (English) Hardco

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This book provides a concise guide to financial asset pricing theory. It explores the fundamental ideas underlying competitive financial asset pricing models with symmetric information.

FORMATHardcover LANGUAGEEnglish CONDITIONBrand New Publisher Description

This text 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, the 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 multiperiod 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.

Author Biography

Frank Milne has taught at the University of Rochester, Australian National University, and Australian Graduate School of Management, and is currently Bank of Montreal Professor of Economics and Finance at Queen's University, Canada. He has published extensively in academic economics and finance journals.

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

Long Description

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. Inparticular, 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 multiperiod 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.

Review Text

Introduction 1. A Brief History of Finance Theory Part I: The One Period Model 2. Two Date Models: Complete Markets 3. Incomplete Markets with Production 4. Arbitrage and Asset Pricing: Induced Preference Approach 5. Martingale Pricing Methods 6. Representative Consumers 7. Diversification and Asset Pricing Part II: The Basic Multiperiod Model 8. Multiperiod Asset Pricing: Complete Markets 9. General Asset Pricing in Complete Markets 10. Multiperiod Asset Pricing: Incomplete Asset Markets Part III: The General Multiperiod Model 11. The General Model and Asset Price Characterization 12. Arbitrage and Discounting Formulae 13. Pareto Optimality 14. Orthonormal Bases, Factor Pricing, and Multi-Beta Asset Pricing 15. Idiosyncrasies that are Irrelevant for Security Pricing 16. Discrete Stochastic Integrals and Multiperiod Factor Pricing 17. Fiat Money as an Asset, Nominal Assets, and International Finance 18. Extensions to the Basic Model

Feature

Substantially expanded edition almost doubling original lengthIncludes new section dealing with multiperiod modelsExtensions to the original real options and transaction costs materialDemonstrates how the discrete model can mimic the more mathematically complex continuous time model

Details ISBN0199261067 Author Frank Milne Pages 246 Publisher Oxford University Press Year 2003 Edition 2nd ISBN-10 0199261067 ISBN-13 9780199261062 Format Hardcover Imprint Oxford University Press Place of Publication Oxford Country of Publication United Kingdom Replaces 9780198773979 DEWEY 332.63222 Illustrations Illustrations Media Book Short Title FINANCE THEORY & ASSET PRICING Language English Subtitle Second Edition Affiliation Bank of Montreal Professor of Economics and Finance, Queen's University, Ontario DOI 10.1604/9780199261062 UK Release Date 2003-03-20 Publication Date 2003-03-20 AU Release Date 2003-03-20 NZ Release Date 2003-03-20 Edition Description 2nd Revised edition Alternative 9780199261079 Audience Professional & Vocational We've got this

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