Springer, 2017. — 98 p. — ISBN: 978-3319571461. This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals, and links the present framework with...
Oxford: Oxford University Press, 2010. - 304p. In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an...
Second Edition. — Oxford, 2017. — 712 p. — ISBN: 9780190241155. 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...
Wiley, 2016. — 512 p. — ISBN: 978-1118095041. “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of...
Revised edition. — Princeton University Press, 2005. — 568 p. — ISBN-10: 0691121370, ISBN-13: 978-0691121376.
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...
Third Edition. — Princeton University Press, 2001. — 488 p. — ISBN10: 069109022X, ISBN13: 978-0691090221. This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three...
2nd Edition. — Springer, 2021. — 467 p. — (Springer Finance Springer Finance). — ISBN 978-3-030-74409-0. Теория ценообразования активов в непрерывном режиме: подход, основанный на мартинге Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this...
2nd Edition. — Springer, 2021. — 467 p. — (Springer Finance Springer Finance). — ISBN 978-3-030-74409-0. Теория ценообразования активов в непрерывном режиме: подход, основанный на мартинге Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this...
Springer, 2018. — 457 p. — ISBN: 331977820X. Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can...
Springer, 2018. — 457 p. — ISBN: 331977820X. Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can...
Palgrave Macmillan, 2018. - 268p. - ISBN: 978-3319741918 This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verification of essential factors and features for asset returns through model search approaches, in which non-diversifiability and...
CRC Press, 2022. — 282 p. Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance...
Bubbles, Crashes, Technical Analysis, and Herding. Great Clarendon Street, Oxford First published 2001. list of figures ix. Preface xi. nformation, Equilibrium, and Efficiency Concepts. Modeling Information. Rational Expectations Equilibrium and. Bayesian Nash Equilibrium. Rational Expectations Equilibrium. Bayesian Nash Equilibrium. Allocative and Informational Efficiency....
Oxford: Oxford University Press, 2013. - 585p. Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk...
Oxford: Oxford University Press, 2013. - 585p. Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk...
Pearson, 2008. — 592 p. — ISBN10: 032112720X, ISBN13: 9780321127204. Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing. By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the reader a well-rounded...
Academic Press, 2008. – 604 p. – 2nd ed. – ISBN: 0123743567, 9780123743565 Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. In this 2nd Edition Hersh Shefrin examines the reigning assumptions of asset pricing theory...
Springer – 2004, 200 pages.
ISBN: 0387401008, 9780387401003.
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both...
Springer, 2005. — 200 p. — ISBN 0387249680, 9780387249681. Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from...
Princeton: Princeton University Press, 2006. — 497 p. — ISBN 9780691122977 Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial...
Princeton: Princeton University Press, 2009. — 368 p.
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal...
Wiley, 2010. — 407 p. — ISBN: 1848211589, 9781848211582 Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed...
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