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Theory of Asset Pricing (The Addison-Wesley Series in Finance) | 
 enlarge | Author: George Pennacchi
Publisher: Addison Wesley
Category: Book
List Price: $121.33
Buy New: $80.90
You Save: $40.43 (33%)
New (23) Used (7) from $72.00
Rating:  1 reviews
Sales Rank: 356685
Media: Hardcover
Edition: 1
Pages: 400
Number Of Items: 1
Shipping Weight (lbs): 2
Dimensions (in): 9.2 x 7.5 x 1.2
ISBN: 032112720X
Dewey Decimal Number: 332.632042
EAN: 9780321127204
Publication Date: February 10, 2007
Availability: Usually ships in 1-2 business days
Shipping: International shipping available
Condition: Brand new book delivered from the UK in 10-14 days.
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Product Description
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.
Single-Period Portfolio Choice and Asset Pricing: Expected Utility and Risk Aversion; Mean-Variance Analysis; CAPM, Arbitrage, and Linear Factor Models; Consumption-Savings and State Pricing; Multiperiod Consumption, Portfolio Choice, and Asset Pricing: A Multiperiod Discrete Time Model of Consupmtion; Multiperiod Market Equilibrium; Contingent Claims Pricing: Basics of Derivative Pricing; Essentials of Diffusion Processes and Ito’s Lemma; Dynamic Hedging and PDE Valuation; Arbitrage, Martingales, Pricing Kernels; Mixing Diffusion and Jump Processes; Asset Pricing in Continuous Time: Continuous-Time Consumption and Portfolio Choice; Equilibrium Asset Returns; Time-Inseparable Utility; Additional Topics in Asset Pricing: Behavioral Finance and Asset Pricing; Asset Pricing with Differential Information; Models of the Term Structure of Interest Rates; Models of Default Risk.
MESSAGE: For all readers interested in asset valuation.
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| Customer Reviews:
Excellent book January 24, 2008
Pavlina
1 out of 1 found this review helpful
I spent a semester reading this book in detail and I must say it is really good. That's because it strikes a perfect balance between mathematical rigor and easiness of reading. There are many other financial economics texts that cover similar or the same topics but I think none of them are as readable as this one. Pennacchi does a great job at presenting the material in a very logical and coherent manner. There are no conceptual jumps, you will never ask yourself "Where did this come from?" and all the math required to understand the book is explained in detail. The author starts in the first chapter with the basic axioms that preferences need to satisfy and by gradually presenting the required mathematical tools and economic concepts he talks about dynamic asset pricing and other advanced concepts in the later chapters.
The range of topics covered is broad and at the end of every chapter there are some really good exercises. To sum up, I love this book because there are no conceptual gaps and you are never left guessing. I have also used Cochrane's and Duffie's books and I think Pennacchi's book is much better.
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