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ASSET PRICING AND PORTFOLIO CHOICE THEORY 2E 2017 (H)
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ISBN: 9780190241148
類別: 財務金融Financial Management
出版社: OXFORD UNIVERSITY PRESS
作者: BACK
年份: 2017
裝訂別: 精裝
頁數: 744
定價: 1,390
售價: 1,251
原幣價: USD 95.00
狀態: 正常
In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices.

The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.

Financial Management Association Survey and Synthesis

* Comprehensively written introduction for students to asset pricing and portfolio choice theory
* Contains detailed proofs
* Includes extensive exercises and a solutions manual for instructors
* Covers all related topics, including classical results on single-period, discrete-time, and continuous-time models; the equity premium; risk-free rate puzzles; heterogeneous beliefs; asymmetric information; non-expected utility preferences; and production models

New to this Edition:

* Each chapter has been extensively revised and updated

Table of Contents

I. SINGLE-PERIOD MODELS
1. Utility and Risk Aversion
2. Portfolio Choice
3. Stochastic Discount Factors
4. Equilibrium and Efficiency
5. Mean-Variance Analysis
6. Factor Models
7. Representative Investors

II. DYNAMIC MODELS
8. Dynamic Securities Markets
9. Dynamic Portfolio Choice
10. Dynamic Asset Pricing
11. Explaining Puzzles
12. Brownian Motion and Stochastic Calculus
13. Continuous-Time Markets
14. Continuous-Time Portfolio Choice and Pricing
15. Continuous-Time Topics

III. DERIVATIVE SECURITIES
16. Option Pricing
17. Forwards, Futures, and More Option Pricing
18. Term Structure Models
19. Perpetual Options and the Leland Model
20. Real Options and q Theory

IV. BELIEFS, INFORMATION, AND PREFERENCES
21. Heterogeneous Beliefs
22. Rational Expectations Equilibria
23. Learning
24. Information, Strategic Trading, and Liquidity
25. Alternative Preferences
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