Amazon cover image
Image from Amazon.com
Image from Google Jackets
Image from OpenLibrary

Theory of asset pricing / George Pennacchi.

By: Material type: TextTextSeries: Addison-Wesley series in financePublication details: Boston : Pearson/Addison-Wesley, c2008.Description: xvii, 457 p. : ill. ; 24 cmISBN:
  • 032112720X (alk. paper)
  • 9780321127204 (alk. paper)
Subject(s): LOC classification:
  • HG4636 .P4 2008
Contents:
Pt. I. Single-period portfolio choice and asset pricing -- 1. Expected utility and risk aversion -- 2. Mean-variance analysis -- 3. CAPM, arbitrage, and linear factor models -- 4. Consumption-savings decisions and state pricing -- Pt. II. Multiperiod consumption, portfolio choice, and asset pricing -- 5. A multiperiod discrete-time model of consumption and portfolio choice -- 6. Multiperiod market equilibrium -- Pt. III. Contingent claims pricing -- 7. Basics of derivative pricing -- 8. Essentials of diffusion processes and Ito's Lemma -- 9. Dynamic hedging and PDE valuation -- 10. Arbitrage, martingales, and pricing kernels -- 11. Mixing diffusion and jump processes -- Pt. IV. Asset pricing in continuous time -- 12. Continuous-time consumption and portfolio choice -- 13. Equilibrium asset returns -- 14. Time-inseparable utility -- Pt. V. Additional topics in asset pricing -- 15. Behavioral finance and asset pricing -- 16. Asset pricing with differential information -- 17. Models of the term structure of interest rates -- 18. Models of default risk.
Review: "Theory of Asset Pricing unifies the central tenets and techniques of asset valuation by striking a balance between fundamental theories and cutting-edge research. Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that is presented in an intuitive, user-friendly manner."--BOOK JACKET.
Item type: Book
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
Current library Collection Call number Copy number Status Barcode
Bishop Okullu Memorial Library (Limuru Campus) General Circulation Non-fiction HG4636 .P4 2008 (Browse shelf(Opens below)) 1 Available 010053
Bishop Okullu Memorial Library (Limuru Campus) General Circulation Non-fiction HG4636 .P4 2008 (Browse shelf(Opens below)) 2 Available 010054
Nairobi Campus General Circulation Non-fiction HG4636 .P4 2008 (Browse shelf(Opens below)) 3 Available 010055
Total holds: 0
Browsing Bishop Okullu Memorial Library (Limuru Campus) shelves, Shelving location: General Circulation, Collection: Non-fiction Close shelf browser (Hides shelf browser)
HG4527 .N93 2007 Investing in shares and other securities HG4529 .F56 1994 Financial statement analysis HG4538 .S52 2009 Global investments HG4636 .P4 2008 Theory of asset pricing / HG4651 .F28 2008 Bond markets, analysis, and strategies / HG4651 .F28 2008 Bond markets, analysis, and strategies / HG4651 .H36 1992 The Handbook of mortgage-backed securities /

Includes bibliographical references (p. 415-431) and index.

Pt. I. Single-period portfolio choice and asset pricing -- 1. Expected utility and risk aversion -- 2. Mean-variance analysis -- 3. CAPM, arbitrage, and linear factor models -- 4. Consumption-savings decisions and state pricing -- Pt. II. Multiperiod consumption, portfolio choice, and asset pricing -- 5. A multiperiod discrete-time model of consumption and portfolio choice -- 6. Multiperiod market equilibrium -- Pt. III. Contingent claims pricing -- 7. Basics of derivative pricing -- 8. Essentials of diffusion processes and Ito's Lemma -- 9. Dynamic hedging and PDE valuation -- 10. Arbitrage, martingales, and pricing kernels -- 11. Mixing diffusion and jump processes -- Pt. IV. Asset pricing in continuous time -- 12. Continuous-time consumption and portfolio choice -- 13. Equilibrium asset returns -- 14. Time-inseparable utility -- Pt. V. Additional topics in asset pricing -- 15. Behavioral finance and asset pricing -- 16. Asset pricing with differential information -- 17. Models of the term structure of interest rates -- 18. Models of default risk.

"Theory of Asset Pricing unifies the central tenets and techniques of asset valuation by striking a balance between fundamental theories and cutting-edge research. Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that is presented in an intuitive, user-friendly manner."--BOOK JACKET.

There are no comments on this title.

to post a comment.
Share