Finance Theory and Asset Pricing: Second Edition

Paperback | March 1, 2003

byFrank Milne

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Finance Theory and Asset Pricing provides a concise guide to financial asset pricing theory for economists. Assuming a basic knowledge of graduate microeconomic theory, it explores the fundamental ideas that underlie competitive financial asset pricing models with symmetric information. Usingfinite dimensional techniques, this book avoids sophisticated mathematics and exploits economic theory to clarify the essential structure of recent research in asset pricing. In particular, it explores arbitrage pricing models with and without diversification, Martingale pricing methods, andrepresentative agent pricing models; discusses these ideas in two-date and multi-date models; and provides a range of examples from the literature.This second edition includes a new section dealing with more advanced multiperiod models. In particular it considers discrete factor structure models that mimic recent continuous time models of interest rates, money, and nominal rates and exchange rates. Additional sections sketch extensions to realoptions and transaction costs.

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Finance Theory and Asset Pricing provides a concise guide to financial asset pricing theory for economists. Assuming a basic knowledge of graduate microeconomic theory, it explores the fundamental ideas that underlie competitive financial asset pricing models with symmetric information. Usingfinite dimensional techniques, this book avo...

Frank Milne has taught at the University of Rochester, Australian National University, and Australian Graduate School of Management, and is currently Bank of Montreal Professor of Economics and Finance at Queen's University, Canada. He has published extensively in academic economics and finance journals.

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Format:PaperbackDimensions:246 pages, 8.5 × 5.43 × 0.51 inPublished:March 1, 2003Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199261075

ISBN - 13:9780199261079

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Table of Contents

Introduction1. A Brief History of Finance TheoryPart I: The One Period Model2. Two Date Models: Complete Markets3. Incomplete Markets with Production4. Arbitrage and Asset Pricing: Induced Preference Approach5. Martingale Pricing Methods6. Representative Consumers7. Diversification and Asset PricingPart II: The Basic Multiperiod Model8. Multiperiod Asset Pricing: Complete Markets9. General Asset Pricing in Complete Markets10. Multiperiod Asset Pricing: Incomplete Asset MarketsPart III: The General Multiperiod Model11. The General Model and Asset Price Characterization12. Arbitrage and Discounting Formulae13. Pareto Optimality14. Orthonormal Bases, Factor Pricing, and Multi-Beta Asset Pricing15. Idiosyncrasies that are Irrelevant for Security Pricing16. Discrete Stochastic Integrals and Multiperiod Factor Pricing17. Fiat Money as an Asset, Nominal Assets, and International Finance18. Extensions to the Basic Model