Principles of financial economics

Stephen F. LeRoy, Jan Werner

300 pages, parution le 01/02/2001

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Résumé

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

	PAPIER
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