Theoretical foundations of asset pricing / Costis Skiadas, Northwestern University, Illinois.

Format:

Book

Author/Creator:

Skiadas, Costis, 1965- author.

Language:

English

Subjects (All):

Econometrics.

Assets (Accounting).

Capital assets pricing model.

Finance--Mathematical models.

Finance.

Physical Description:

1 online resource (xi, 242 pages) : digital, PDF file(s).

Edition:

1st ed.

Place of Publication:

Cambridge, United Kingdom ; New York, NY, USA : Cambridge University Press, 2025.

Summary:

This text provides an advanced introduction to the modeling of competitive financial markets, encompassing arbitrage and equilibrium pricing of financial contracts, as well as optimal lifetime consumption and portfolio choice. Notable features include its coverage of recursive utility in discrete and continuous time and several results not previously available in book form. Each chapter concludes with a set of exercises, with solutions available to verified instructors. Ideal as a graduate-level course text, this book can also serve as a valuable reference for researchers and finance industry practitioners. Readers with a finance focus can use the text to build analytical foundations for a significant component of the economics of financial markets, while readers with a mathematics focus will find a well-motivated introduction to basic tools of stochastic analysis and convex analysis.

Contents:

Cover

Half-title

Title page

Imprints page

Dedication

Contents

Preface

1 Market and Arbitrage Pricing

1.1 Uncertainty and Information

1.2 Market and Arbitrage

1.3 Trading and Pricing of Financial Contracts

1.4 Present-Value Functions

1.5 Options and Dominant Choice

1.6 Option Pricing

1.7 Trading Strategies

1.8 Money-Market Account and Returns

1.9 Exercises

2 Probabilistic Methods in Arbitrage Pricing

2.1 Probability Basics

2.2 Beta Pricing and Frontier Returns

2.3 State-Price Densities

2.4 Equivalent Martingale Measures

2.5 Predictable Representations

2.6 Independent Increments and the Markov Property

2.7 A Glimpse of the Continuous-Time Theory

2.8 Brownian Market Example

2.9 Exercises

3 Optimality and Equilibrium Pricing

3.1 Preferences and Optimality

3.2 Equilibrium

3.3 Utility Functions and Optimality

3.4 Dynamic Consistency and Recursive Utility

3.5 Scale-Invariant Recursive Utility

3.6 Equilibrium with Scale-Invariant Recursive Utility

3.7 Optimal Consumption and Portfolio Choice

3.8 Recursive Utility and Optimality in Continuous Time

3.9 Habit Formation and Durability of Consumption

3.10 Exercises

Appendix A Additive Utility Representations

A.1 Utility Representations of Preferences

A.2 Additive Utility Representations

A.3 Concave Additive Representations

A.4 Scale/Translation-Invariant Representations

A.5 Expected Utility Representations

A.6 Expected Utility and Risk Aversion

Appendix B Elements of Convex Analysis

B.1 Vector Spaces

B.2 Inner Products

B.3 Some Basic Topological Concepts

B.4 Convexity

B.5 Projections on Convex Sets

B.6 Supporting Hyperplanes and (Super)gradients

B.7 Optimality Conditions

References

Index.

Notes:

Title from publisher's bibliographic system (viewed on 07 Feb 2025).

Description based on publisher supplied metadata and other sources.

ISBN:

9781009439046

1009439049

9781009439077

1009439073

OCLC:

1432609536