Description 
xvii, 533 pages : illustrations ; 24 cm 
Contents 
Consumptionbased model and overview  Applying the basic model  Contingent claims markets  The discount factor  Meanvariance frontier and beta representations  Relation between discount factors, betas, and meanvariance frontiers  Implications of existence and equivalence theorems  Conditioning information  Factor pricing models  GMM in explicit discount factor models  GMM : general formulas and applications  Regressionbased tests of linear factor models  GMM for linear factor models in discount factor form  Maximum likelihood  Timeseries, crosssection, and GMM/DF tests of linear factor models  Which method?  Option pricing  Option pricing without perfect replication  Term structure of interest rates  Expected returns in the time series and cross section  Equity premium puzzle and consumptionbased models  Appendix:  A.1 Brownian motion  A.2 Diffusion model  A.3 Ito's Lemma 
Summary 
"Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics. This revised edition corrects the original printing throughout, and updates and clarifies the treatment of a number of important topics."BOOK JACKET 
Notes 
Previous ed.: 2001 

Formerly CIP. Uk 
Bibliography 
Includes bibliographical references (pages 497511) and indexes 
Subject 
Capital assets pricing model.


Securities.

Reading List 
MAF908 prescribed text 2019


MAF908 prescribed text 2018


MAF906 recommended text 2018


MAF906 recommended text 2019

LC no. 
2004050561 
ISBN 
0691121370 cloth alkaline paper 
