Author:
George Pennacchi

ISBN 13:
9780321127204

ISBN 10:
32112720

Edition:
1

Publisher:
Pearson

Publication Date:
2007-02-10

Format:
Paperback

Pages:
400

List Price:
$161.00

**Theory of Asset Pricing** unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing.

**Single-Period Portfolio Choice and Asset Pricing:** Expected Utility and Risk Aversion; Mean-Variance Analysis; CAPM, Arbitrage, and Linear Factor Models; Consumption-Savings and State Pricing; **Multiperiod Consumption, Portfolio Choice, and Asset Pricing: **A Multiperiod Discrete Time Model of Consupmtion; Multiperiod Market Equilibrium; **Contingent Claims Pricing: **Basics of Derivative Pricing; Essentials of Diffusion Processes and Itô’s Lemma; Dynamic Hedging and PDE Valuation; Arbitrage, Martingales, Pricing Kernels; Mixing Diffusion and Jump Processes; **Asset Pricing in Continuous Time: **Continuous-Time Consumption and Portfolio Choice; Equilibrium Asset Returns; Time-Inseparable Utility; **Additional Topics in Asset Pricing: **Behavioral Finance and Asset Pricing; Asset Pricing with Differential Information; Models of the Term Structure of Interest Rates; Models of Default Risk.

**MESSAGE:** For all readers interested in asset valuation.