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Book Cover
Book
Author Cochrane, John H. (John Howland), 1957-

Title Asset pricing / John H. Cochrane
Edition Revised edition
Published Princeton, N.J. : Princeton University Press, 2005

Copies

Location Call no. Vol. Availability
 MELB  332.6 Coc/Apr 2005  DUE 17-07-19
 MELB  332.6 Coc/Apr 2005  DUE 18-11-19
 MELB 7 DAY LOAN  332.6 Coc/Apr 2005  AVAILABLE
Description xvii, 533 pages : illustrations ; 24 cm
Contents Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, 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 consumption-based 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 497-511) 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