Asset Pricing for Dynamic Economies
Asset Pricing for Dynamic Economies
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
- Integrated approach emphasises the interrelationship between macroeconomics and finance
- Shows how seemingly diverse phenomena can be analysed using the same set of tools and models
- End-of-chapter exercises allow readers to monitor their understanding of each topic
Reviews & endorsements
“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
Product details
September 2008Paperback
9780521699143
600 pages
247 × 175 × 36 mm
1.17kg
22 b/w illus. 4 tables
Available
Table of Contents
- 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.
