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Business & Economics Microeconomics

Finance Theory and Asset Pricing

Second Edition

by (author) Frank Milne

Publisher
Oxford University Press
Initial publish date
Mar 2003
Category
Microeconomics
  • Paperback / softback

    ISBN
    9780199261079
    Publish Date
    Mar 2003
    List Price
    $71.00
  • Hardback

    ISBN
    9780199261062
    Publish Date
    Mar 2003
    List Price
    $105.00

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Description

Finance Theory and Asset Pricing provides a concise guide to financial asset pricing theory for economists. Assuming a basic knowledge of graduate microeconomic theory, it explores the fundamental ideas that underlie competitive financial asset pricing models with symmetric information. Using finite dimensional techniques, this book avoids sophisticated mathematics and exploits economic theory to clarify the essential structure of recent research in asset pricing. In particular, it explores arbitrage pricing models with and without diversification, Martingale pricing methods, and representative agent pricing models; discusses these ideas in two-date and multi-date models; and provides a range of examples from the literature.

This second edition includes a new section dealing with more advanced multiperiod models. In particular it considers discrete factor structure models that mimic recent continuous time models of interest rates, money, and nominal rates and exchange rates. Additional sections sketch extensions to real options and transaction costs.

About the author

Contributor Notes

Frank Milne has taught at the University of Rochester, Australian National University, and Australian Graduate School of Management, and is currently Bank of Montreal Professor of Economics and Finance at Queen's University, Canada. He has published extensively in academic economics and finance journals.