Asset pricing for dynamic economies/ (Record no. 176769)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 00389nam a2200145Ia 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780521875851 |
| 040 ## - CATALOGING SOURCE | |
| Transcribing agency | CUS |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.6 |
| Item number | ALT/A |
| 245 #0 - TITLE STATEMENT | |
| Title | Asset pricing for dynamic economies/ |
| Statement of responsibility, etc. | Altug,Sumru |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st.ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc. | New York: |
| Name of publisher, distributor, etc. | Cambridge University Press, |
| Date of publication, distribution, etc. | 2008. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xvi, 584 p |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | I BASIC CONCEPTS<br/>1 Complete contingent claims<br/>A one-period model<br/>Contingent claims equilibrium<br/>Computing the equilibrium<br/>Pareto optimal allocations<br/>Security market equilibrium<br/>Definition<br/>Attaining a CCE by an SME<br/>The Pareto optimum and the representative consumer<br/>Conclusions<br/>Exercises<br/>2 Arbitrage and asset valuation<br/>Absence of arbitrage: some definitions<br/>The law of one price<br/>Arbitrage opportunities<br/>Existence of a state-price vector<br/>Risk-free asset<br/>Risk-neutral pricing<br/>The stochastic discount factor<br/>. Binomial security markets<br/>An economy with two dares<br/>A multi-period economy<br/>Conclusions<br/>Exercises<br/>3 Expected utility<br/>Expected utility preferences<br/>Some definitions<br/>Risk aversion<br/>One-period expected utility analysis<br/>The risk premium<br/>Measures of risk aversion<br/>Risk aversion in a portfolio choice problem<br/>Measures of increasing risk<br/>Conclusions<br/>Exercises<br/>4 CAPM and APT<br/>The capital asset-pricing model<br/>The discount factor<br/>Expected utility' maximization<br/>Alternative derivations<br/>Arbitrage pricing theory<br/>Conclusions<br/>Exercises<br/>5 Consumption and saving<br/>A deterministic economy<br/>5.1.1. Properties of the saving function<br/>5.1.2. Optimal consumption over time<br/>Portfolio choice under uncertainty<br/>A more general problem<br/>5.3.1. Precautionary saving<br/>Conclusions<br/>Exercises<br/>II RECURSIVE MODELS<br/>6 Dynamic programming<br/>A deterministic growth problem<br/>Guess-and-verify<br/>. Finite horizon economies<br/>Mathematical preliminaries<br/>Markov processes<br/>Vector space methods<br/>Contraction mapping theorem<br/>A consumption-saving problem under uncertainty<br/>Exercises<br/>7 Intertemporal risk sharing<br/>Multi-period contingent claims<br/>Aggregate uncertainty<br/>Central planning problem<br/>Sequential trading<br/>Implications for pricing assets<br/>Idiosyncratic endowment risk<br/>Notation<br/>The economy<br/>Complete contingent claims<br/>Dynamic programming<br/>Risk sharing with idiosyncratic and aggregate risk<br/>7.3.1. First-best solution<br/>Conclusions<br/>Exercises<br/>8 Consumption and asset pricing<br/>The consumption-based CAPM<br/>Recursive competitive equilibrium<br/>Asset-pricing functions<br/>Risk prcmia<br/>Volatility bounds for interiemporal MRSs<br/>The "equity premium puzzle"<br/>Pricing alternative assets<br/>Discount bonds and the yield curve<br/>Pricing derivative instruments<br/>The Biack-Scholes options pricing formula<br/>A growing economy<br/>8.3.1. Cointegration in asset-pricing relations<br/>Conclusions<br/>Exercises<br/>9 Non-separable preferences<br/>Non-time-additive preferences<br/>Habit persistence and consumption durability<br/>A more general specification<br/>A recursive framework<br/>Pricing durable consumption goods<br/>Asset-pricing relations<br/>y., .V. Log-linear asset-pricing formulas<br/>Non-expected utility<br/>" " " Recursive preferences under certainty<br/>The role of temporal lotteries<br/>Properties of non-expected utility preferences<br/>Optimal consumption and portfolio choices<br/>Tests of asset-pricing relations<br/>A model with an external habit<br/>Conclusions<br/>Exercises<br/>10 Economies with production<br/>Recursive competitive equilibrium with production<br/>Households own the capital stock<br/>Households lease capital to firms<br/>Extensions<br/>Economies with distortions<br/>The role of expectations<br/>Solving models with production<br/>A parametric model<br/>The stationary distribution<br/>Financial structure of a firm<br/>rhc irrelevance of debt versus equity financing<br/>riie equitv price and the equiti' premium<br/>limpirical implications<br/>Taxes and the debt-equity ratio<br/>(Conclusions<br/>Appendix: The invariant distribution<br/>F.xercises<br/>11 Investment<br/>The neoclassical model of investment<br/>L. [ be Q theory adjustment-cost model of investment<br/>The Q theory of investment<br/>Adjustment costs<br/>"The social planners problem<br/>The market economy<br/>Asset-pricing relations<br/>It Irreversible itivestment<br/>A model with partial irreversibility and expandabilit)'<br/>A model of irreversible investment<br/>,,.4. An asscl-pricing model with irtcvcrsible investment<br/>The model<br/>The social planner's problem<br/>The competitive equilibrium<br/>The value of the firm and Q<br/>The relation among stock returns, investment, and J<br/>Conclusions<br/>Fxercises<br/>12 Business cycles<br/>Business cycle facts<br/>Shocks and propagation mechanisms<br/>Real business c7clc models<br/>An RBC model<br/>A model with indivisible labor supply<br/>Other "puzzles<br/>Solving business cycle models<br/>Quadratic approximation<br/>Business cycle empirics<br/>Dynamic factor analysis<br/>Ml. and GMM estimation approaches<br/>A New Keyncsian critique<br/>inclusions<br/>Exercises<br/>„„HErA.V AND ,NTE.NATK,N.A MODEtS<br/>„ Models with cash-in-advance constraints<br/>^ -Fvd is the root of ail money<br/>The basic cash-in-advance model<br/>Solution for velocity<br/>Kmpirica! results<br/>Inflation risk and the inflation premium<br/>Velocity shock<br/>Inflation and interest rates<br/>Transactiofis services model<br/>Growing economies<br/>Money and real activit)'<br/>Consumption-leisure choices<br/>Business c)'clc implications<br/>Conclusions<br/>Exercises<br/>14 International asset markets<br/>A two-country model<br/>International monetary model<br/>The terms of trade and the exchange rate<br/>Pricing alternative assets<br/>Variants of the basic mode!<br/>Non-traded goods<br/>Exchange rates and international capital flows<br/>Conclusions<br/>Exercises<br/>IV MODELS WITH MARKET INCOMPLETENESS<br/>15 Asset pricing with frictions<br/>The role oTidiosyncratic risk for asset pricing<br/>Transactions costs<br/>15.2.1. A model with bid-ask spreads<br/>Volatility bounds with frictions<br/>Conclusions<br/>Exercises<br/>16 Borrowing constraints<br/>Idiosyncratic risk and borrowing constraints<br/>The basic model<br/>Restrictions on markets<br/>Pure insurance economy<br/>Pure credit model<br/>Asset span<br/>16.2. Townsend turnpike model<br/>Description of the model<br/>Borrowing-constrained households<br/>Borrowing constraints as netting schemes<br/>Liquidity-constrained households<br/>Debt-constrained economies<br/>Conclusions<br/>Exercises<br/>Overlapping generarions models<br/>I he environment<br/>Primitives<br/>Aiitarkv in the absence of an outside asset<br/>The stochastic overlapping generations model<br/>Central planning problem<br/>Mqual-treatment Pareto-optimal solution<br/>(amipetiiive equilibrium<br/>Deterministic economy<br/>Fiat money<br/>The stochastic economy<br/>Kquirv pricing in a growing economy<br/>Risk premia<br/>(Capital accumulation and social security<br/>Social security<br/>Cionclusions<br/>Fxercises |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | AC Sinha Collection |
| Withdrawn status | Lost status | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Full call number | Accession number | Date last seen | Date last checked out | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Central Library, Sikkim University | Central Library, Sikkim University | General Book Section | 29/08/2016 | 332.6 ALT/A | P31771 | 12/07/2018 | 12/07/2018 | General Books |