Asset pricing for dynamic economies
著者
書誌事項
Asset pricing for dynamic economies
Cambridge University Press, 2008
- : hbk
- : pbk
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注記
Includes bibliographical references (p. 558-580) and index
内容説明・目次
内容説明
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
目次
- 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.
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