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eISBN : 1400829135

Sommaire : Contents

Part I. Asset Pricing Theory
1 Consumption Based Model and Overview
2 Applying the Basic Model
3 Contingent Claims Markets
4 The Discount Factor
5 Mean Variance Frontier and Beta Representations
6 Relation between Discount Factors, Betas, and Mean Variance Frontiers
7 Implications of Existence and Equivalence Theorems
8 Conditioning Information
9 Factor Pricing Models

Part II. Estimating and Evaluating Asset Pricing Models
10 GMM in Explicit Discount Factor Models
11 GMM: General Formulas and Applications
12 Regression Based Tests of Linear Factor Models
13 GMM for Linear Factor Models in Discount Factor Form
14 Maximum Likelihood
15 Time Series, Cross Section, and GMM/DF Tests of Linear Factor Models
16 Which Method?

Part III. Bonds and Options
17 Option Pricing
18 Option Pricing without Perfect Replication
19 Term Structure of Interest Rates

Part IV. Empirical Survey
20 Expected Returns in the Time Series and Cross Section
21 Equity Premium Puzzle and ConsumptionBased Models

Part V. Appendix
Appendix. Continuous Time
A.1 Brownian Motion
A.2 Diffusion Model
A.3 Ito's Lemma

Langue : Anglais

Edition : Edition révisée

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque