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Asset Pricing (Repost)
Author: step778

John H. Cochrane, "Asset Pricing"
2005 | pages: 553 | ISBN: 0691121370 | PDF | 3,7 mb
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Asset Pricing
Author: Mazepa777

Instant Info Riches
Publisher Princeton University Press | ISBN: 0691074984 | edition 2001 | PDF | 530 pages | 3.88 mb

Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane’s Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea–price equals expected discounted payoff–that captures the macro-economic risks underlying each security’s value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options.
Each model–consumption based, CAPM, multifactor, term structure, and option pricing–is derived as a different specification of the discounted factor.
The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Details Download Now
Financial Mathematics Books Collection
Author: angus77

Financial Mathematics Books Collection
English | PDF | Large Books Collection | 1.69 GB
Genre: Mathematics
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