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Principles of financial economics

Librairie Eyrolles - Paris 5e

Principles of financial economics

Principles of financial economics

300 pages, parution le 01/02/2001


Financial economics, and the calculations of time and uncertainty derived from it, are playing an increasingly important role in non-finance areas, such as monetary and environmental economics. Professors Le Roy and Werner here supply a rigorous yet accessible graduate-level introduction to this subfield of microeconomic theory and general equilibrium theory. Since students often find the link between financial economics and equilibrium theory hard to grasp, they devote less attention to purely financial topics such as calculation of derivatives, while aiming to make the connection explicit and clear in each stage of the exposition. Emphasis is placed on detailed study of two-date models, because almost all of the key ideas in financial economics can be developed in the two-date setting. In addition to rigorous analysis, substantial sections of discussion and examples are included to make the ideas readily understandable.

This is an excellent introduction to the exciting field of financial economics, rigorous yet filled with economic intuition, and with a refreshing emphasis on equilibrium that is reminiscent of Debreu's elegant and pithy monograph.

Andrew Lo, Massachusetts Institute of Technology


  • Equilibrium and Arbitrage
    • General equilibrium in security markets
    • Linear pricing
    • Arbitrage and positive pricing
    • Portfolio restrictions
  • Valuation
    • Valuation
    • State prices and risk-neutral probabilities
    • Valuation under portfolio restrictions
  • Risk
    • Expected utility
    • Risk aversion
    • Risk
  • Optimal Portfolios
    • Optimal portfolios with one risky security
    • Comparative statics of optimal portfolios
    • Optimal portfolios with several risky securities
  • Equilibrium Prices and Allocations
    • Consumption-based security pricing
    • Complete markets and Pareto-optimal allocations of risk
    • Optimality in incomplete security markets
  • Mean-Variance Models
    • The expectations and pricing kernels
    • The mean-variance frontier payoffs
    • CAPM
    • Factor pricing
  • Multidate Models
    • A multidate model of security markets
    • Multidate arbitrage and positivity
    • Dynamically complete markets
    • Valuation
    • Event process, risk-neutral probabilities and the pricing kernel
    • Security gains as martingales
    • Consumption-based security pricing
    • The frontier payoffs and the CAPM
  • Index

Caractéristiques techniques du livre "Principles of financial economics"

Éditeur(s) Cambridge University Press
Auteur(s) Stephen F. LeRoy, Jan Werner
Parution 01/02/2001
Nb. de pages 300
Format 17,7 x 25,5
Couverture Broché
Poids 540g
Intérieur Noir et Blanc
EAN13 9780521586054
ISBN13 978-0-521-58605-4


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