Finance Theory and Asset Pricing

• Substantially expanded edition almost doubling original length
• Includes new section dealing with multiperiod models
• Extensions to the original real options and transaction costs material
• Demonstrates how the discrete model can mimic the more mathematically complex continuous time model

Readership: Graduate economists, Masters and Ph.D. programmes in economics and finance, and researchers in the market.

Frank Milne, Bank of Montreal Professor of Economics and Finance, Queen's University, Ontario

Introduction
1: A Brief History of Finance Theory
Part I: The One Period Model
2: Two Date Models: Complete Markets
3: Incomplete Markets with Production
4: Arbitrage and Asset Pricing: Induced Preference Approach
5: Martingale Pricing Methods
6: Representative Consumers
7: Diversification and Asset Pricing
Part II: The Basic Multiperiod Model
8: Multiperiod Asset Pricing: Complete Markets
9: General Asset Pricing in Complete Markets
10: Multiperiod Asset Pricing: Incomplete Asset Markets
Part III: The General Multiperiod Model
11: The General Model and Asset Price Characterization
12: Arbitrage and Discounting Formulae
13: Pareto Optimality
14: Orthonormal Bases, Factor Pricing, and Multi-Beta Asset Pricing
15: Idiosyncrasies that are Irrelevant for Security Pricing
16: Discrete Stochastic Integrals and Multiperiod Factor Pricing
17: Fiat Money as an Asset, Nominal Assets, and International Finance
18: Extensions to the Basic Model