Asset Pricing
Contents
Chapt~
1 ExJ>ected Utilicy and Risk Aversion ..............................................................................• !
Chapt€11" 2 Mean-Varian.ce Analysis ................................................................................................ 6
Chapter 3 CAPM, Atbitmge, and Linear Factor Models .............................................................. 12
Chapter 4 Consumption-Savings Decisions and State Pricing...................................................... 17
Chapter 5 A Multi period Discrete-Time Model of Consumption and Portfolio Choice............... 24
Chapt~ 6Multi~riod
Market .EQ.t.JilibriliDl .................................................................................. 33
Chapta-- ?Basics of Derivative Pricing ......................................................................................... 37
Chapter 8 Essentials of Diffusion Processes and ItO's Lemma..................................................... 41
Chaptf!Jf' 9Dynamic Hedging and PDE Valuation ......................................................................... 45
Chapf(3{" 10 Arbitmge, Martingales, 31ld Pric.ing Ke111els .............................................................. 50
Chapter 11 Mixing Diffusion and Jump Processes •...................................................................... 59
Chapter 12 Continuous-Time Consumption and Portfolio Choice ............................................... 62
Chapf(31" 13 Equilibrium. Asset Ret:l..ln'ls........................................................................•...•...•...•...•. 74
Chapt~ 1~ ~i~-~e~l>le 1LJtili~ ............................................................................................. ~5»
Chaptf!!" 15 Behavioral Fina.Ilce and Asset Pric.ing ........................................................................ 85
Chapter 16 Asset Pricing with Differential Information
Chapt~
1 ExJ>ected Utilicy and Risk Aversion ..............................................................................• !
Chapt€11" 2 Mean-Varian.ce Analysis ................................................................................................ 6
Chapter 3 CAPM, Atbitmge, and Linear Factor Models .............................................................. 12
Chapter 4 Consumption-Savings Decisions and State Pricing...................................................... 17
Chapter 5 A Multi period Discrete-Time Model of Consumption and Portfolio Choice............... 24
Chapt~ 6Multi~riod
Market .EQ.t.JilibriliDl .................................................................................. 33
Chapta-- ?Basics of Derivative Pricing ......................................................................................... 37
Chapter 8 Essentials of Diffusion Processes and ItO's Lemma..................................................... 41
Chaptf!Jf' 9Dynamic Hedging and PDE Valuation ......................................................................... 45
Chapf(3{" 10 Arbitmge, Martingales, 31ld Pric.ing Ke111els .............................................................. 50
Chapter 11 Mixing Diffusion and Jump Processes •...................................................................... 59
Chapter 12 Continuous-Time Consumption and Portfolio Choice ............................................... 62
Chapf(31" 13 Equilibrium. Asset Ret:l..ln'ls........................................................................•...•...•...•...•. 74
Chapt~ 1~ ~i~-~e~l>le 1LJtili~ ............................................................................................. ~5»
Chaptf!!" 15 Behavioral Fina.Ilce and Asset Pric.ing ........................................................................ 85
Chapter 16 Asset Pricing with Differential Information