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. In this 2001 book, Professors Le Roy and Werner 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.
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Stephen F. LeRoy is Professor of Economics Emeritus at the University of California, Santa Barbara. Early in his career, he was an economist in the research departments of the Federal Reserve Bank of Kansas City and the Board of Governors of the Federal Reserve System. He then moved to the economics department at the University of California, Santa Barbara. He also served as Carlson Professor of Finance in the Carlson School of Management, University of Minnesota. He has had visiting appointments at the University of California, Berkeley, the University of California, Davis, the California Institute of Technology, and the University of Chicago. He earned his PhD in economics from the University of Pennsylvania.
Jan Werner is Professor of Economics at the University of Minnesota. He has taught at the Pompeu Fabra University, Barcelona, the Institute for Advanced Studies in Vienna, and the Central University of Finance and Economics, Beijing. He has had visiting appointments at the University of Bonn, the European University Institute, Florence, and Université Paris Dauphine. He serves on the editorial boards of Economic Theory, the Journal of Mathematical Economics, the Annals of Finance, and the Central European Journal of Economic Modeling and Econometrics. He earned his PhD in economics from the University of Bonn.
'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
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Description du livre CAMBRIDGE UNIVERSITY PRESS, 2000. État : Neu. Neu - This graduate-level 2001 introduction links financial economics with equilibrium theory and emphasises two-date models. Englisch. N° de réf. du libraire INF1000104591
Description du livre Cambridge University Press, 2000. Paperback. État : New. 1. N° de réf. du libraire DADAX0521586054
Description du livre Cambridge University Press, 2000. État : New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Part I. Equilibrium and Arbitrage: 1. General equilibrium in security markets; 2. Linear pricing; 3. Arbitrage and positive pricing; 4. Portfolio restrictions; Part II. Valuation: 5. Valuation; 6. State prices and risk-neutral probabilities; 7. Valuation under portfolio restrictions; Part III. Risk: 8. Expected utility; 9. Risk aversion; 10. Risk; Part IV. Optimal Portfolios: 11. Optimal portfolios with one risky security; 12. Comparative statics of optimal portfolios; 13. Optimal portfolios with several risky securities; Part V. Equilibrium Prices and Allocations: 14. Consumption-based security pricing; 15. Complete markets and Pareto-optimal allocations of risk; 16. Optimality in incomplete security markets; Part VI. Mean-Variance Models: 17. The expectations and pricing kernels; 18. The mean-variance frontier payoffs; 19. CAPM; 20. Factor pricing; Part VII. Multidate Models: 21. A multidate model of security markets; 22. Multidate arbitrage and positivity; 23. Dynamically complete markets; 24. Valuation; 25. Event process, risk-neutral probabilities and the pricing kernel; 26. Security gains as martingales; 27. Consumption-based security pricing; 28. The frontier payoffs and the CAPM. N° de réf. du libraire ABE_book_new_0521586054
Description du livre Cambridge University Press, 2000. Paperback. État : New. N° de réf. du libraire P110521586054