Asset pricing / John H. Cochrane.

By: Material type: TextTextPublication details: Princeton, N.J. : Princeton University Press, 2005.Edition: Rev. edDescription: xvii, 533 p. : ill. ; 24 cmISBN:
  • 0691121370 (cl : alk. paper)
Subject(s): DDC classification:
  • 332.6 COC 22
Contents:
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 -- 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? -- 17. Option pricing -- 18. Option pricing without perfect replication -- 19. Term structure of interest rates -- 20. Expected returns in the time series and cross section -- 21. Equity premium puzzle and consumption-based models -- App. A.1. Brownian motion -- App. A.2. Diffusion model -- App. A.3. Ito's lemma.
Review: "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.
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Includes bibliographical references (p. 497-511) and indexes.

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 -- 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? -- 17. Option pricing -- 18. Option pricing without perfect replication -- 19. Term structure of interest rates -- 20. Expected returns in the time series and cross section -- 21. Equity premium puzzle and consumption-based models -- App. A.1. Brownian motion -- App. A.2. Diffusion model -- App. A.3. Ito's lemma.

"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.

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