From the rear cover
"An excellent survey of asset pricing theory and applications from the modern viewpoint of stochastic discount factors and their associated geometry. This book was already a classic among finance scholars and on Ph.D. syllabi when it circulated in the form of class notes. It will also prove highly useful to practitioners who seek an in-depth introduction to these tools."--Yacine Aït-Sahalia, Princeton University
"This is a beautiful book that uses the elegant simplicity of the stochastic discount factor to present a general theory of the pricing of stocks, bonds, and derivatives and a practical approach to estimating particular models derived from the general theory. It will help experts in the field to consolidate their knowledge and beginners to appreciate the unity of asset pricing theory. Cochrane uses his mastery of the subject to present it in a clear and compelling manner that is easily accessible."--Michael Brennan, Anderson School, University of California, Los Angeles
"This is an impressive treatise of very high quality. It is a serious scholarly monograph, of interest to those who are working to advance financial theory, and it can also serve as a textbook in an advanced finance course. It is thoughtful, inductive, and comprehensive."--Robert J. Shiller, author of Irrational Exuberance
"This is a sparkling, intuitive, makes-it-look-easier-than-it really-is, gem of a book . . . Cochrane's focus is the classical asset pricing models of frictionless markets and rational expectations. But the lessons learned are relevant in many empirical contexts. Cochrane's clever intuition and easy, informal writing style make the book a joy to read."--Wayne Ferson, Boston College
"This book represents an exciting step forward in the exposition of financial economics. The last twenty years of finance research have advanced and enriched the field, and textbook treatments have lagged behind these developments. This text will replace the previous generation of books and should have a broad market. It is written in an informal, almost breezy style that will appeal to students and is divided into small, easily digested chapters. . . . The book moves easily between discrete-time and continuous-time models. This is an excellent thing as it encourages students to see beyond the formalism to the underlying economics. I strongly recommend it as an advanced finance text."--John Y. Campbell, coauthor of The Econometrics of Financial Markets
Details
- Title Asset Pricing
- Author John Cochrane
- Binding Hardcover
- Edition Revised
- Pages 533
- Volumes 1
- Language ENG
- Publisher Princeton University Press, Princeton, NJ
- Date 2005-01
- Illustrated Yes
- Features Bibliography, Dust Cover, Illustrated, Index, Table of Contents
- ISBN 9780691121376 / 0691121370
- Weight 2.02 lbs (0.92 kg)
- Dimensions 9.22 x 6.52 x 1.57 in (23.42 x 16.56 x 3.99 cm)
- Library of Congress subjects Securities, Capital assets pricing model
- Library of Congress Catalog Number 2004050561
- Dewey Decimal Code 332.6
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