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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
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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
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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.

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