Asset Pricing for Dynamic Economies
Cambridge University Press, 9/29/2008
EAN 9780521699143, ISBN10: 0521699142
Paperback, 600 pages, 24.4 x 17 x 3.5 cm
Language: English
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
List of figures
List of tables
Preface
Part I. Basic Concepts
1. Complete contingent claims
2. Arbitrage and asset valuation
3. Expected utility
4. CAPM and APT
5. Consumption and saving
Part II. Recursive Models
6. Dynamic programming
7. Intertemporal risk sharing
8. Consumption and asset pricing
9. Nonseparable preferences
10. Economies with production
11. Investment
12. Business cycles
Part III. Monetary and International Models
13. Models with money
14. International models
Part IV. Models with Market Incompleteness
15. Asset pricing with frictions
16. Borrowing constraints
17. Overlapping generations models
Part V. Supplementary Material
A. Mathematical appendix
References
Index.
'The team of Altug and Labadie have produced another superb book. Their first book sits on my book shelf where it is easy to reach. This second one will too.' William A. Brock, Professor of Economics, University of Wisconsin - Madison
'This is an excellent text from many perspectives. Concepts and model constructs discussed are clearly and precisely laid out, always in the context of ample intuition. All the necessary understanding is built up from scratch in the early chapters of the book, giving the reader an excellent preparation for later chapters. As an introduction to general equilibrium macro-modeling cum asset pricing, it is exceptional, most especially for beginning researchers. Important empirical aspects are featured as well.' John Donaldson, Mario J. Gabelli Professor of Finance, Columbia Business School