Asia Pacific University Library catalogue


Asset pricing / John H. Cochrane.

By: Cochrane, John H. (John Howland)Material type: TextTextPublication details: Princeton, N.J. : Princeton University Press, 2005Edition: Rev. edDescription: xvii, 533 p. : ill. ; 24 cmISBN: 0691121370 (hbk.); 9780691121376 (hbk.)Subject(s): Capital assets pricing model | SecuritiesDDC classification: 332.6 LOC classification: HG4636 | .C63 2005Online resources: Publisher description | Contributor biographical information
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
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Item type Current library Collection Call number Copy number Status Date due Barcode
Staff Circulation Staff Circulation APU Library
Open Shelf 		Book HG4636 .C63 2005 c.1 (Browse shelf (Opens below)) 1 Available (No use restrictions) 00002942
General Circulation General Circulation APU Library
Open Shelf 		Book HG4636 .C63 2005 c.2 (Browse shelf (Opens below)) 2 Available (No use restrictions) 00021190

Includes bibliographical references (p. 497-511) and indexes.

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

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