Theory of Asset Pricing 1st Edition by George Pennacchi ISBN 032112720X 9780321127204

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ISBN 10: 032112720X 
ISBN 13: 9780321127204
Author: George Pennacchi

Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing.

Single-Period Portfolio Choice and Asset Pricing: Expected Utility and Risk Aversion; Mean-Variance Analysis; CAPM, Arbitrage, and Linear Factor Models; Consumption-Savings and State Pricing; Multiperiod Consumption, Portfolio Choice, and Asset Pricing: A Multiperiod Discrete Time Model of Consupmtion; Multiperiod Market Equilibrium; Contingent Claims Pricing: Basics of Derivative Pricing; Essentials of Diffusion Processes and Itô’s Lemma; Dynamic Hedging and PDE Valuation; Arbitrage, Martingales, Pricing Kernels; Mixing Diffusion and Jump Processes; Asset Pricing in Continuous Time: Continuous-Time Consumption and Portfolio Choice; Equilibrium Asset Returns; Time-Inseparable Utility; Additional Topics in Asset Pricing: Behavioral Finance and Asset Pricing; Asset Pricing with Differential Information; Models of the Term Structure of Interest Rates; Models of Default Risk.

MESSAGE: For all readers interested in asset valuation.

Theory of Asset Pricing 1st Table of contents:

Chapter 1: Fundamental Concepts in Asset Pricing

What is Asset Pricing?
Types of Assets: Stocks, Bonds, Derivatives, and Commodities
Risk and Return: Basic Principles
The Role of Time Value of Money in Asset Pricing
Chapter 2: The Efficient Market Hypothesis (EMH)

The Origins of the Efficient Market Hypothesis
Weak, Semi-Strong, and Strong Forms of Market Efficiency
Empirical Evidence and Criticisms of EMH
Implications for Asset Pricing and Investment Strategy
Chapter 3: Modern Portfolio Theory (MPT)

The Markowitz Mean-Variance Optimization Model
Risk and Diversification in Portfolio Construction
The Efficient Frontier and the Capital Market Line (CML)
The Role of the Risk-Free Asset in Portfolio Selection
Chapter 4: The Capital Asset Pricing Model (CAPM)

The CAPM: Assumptions and Key Concepts
The Security Market Line (SML)
Risk-Free Rate, Market Risk, and Beta Coefficient
Testing the CAPM: Empirical Evidence and Critiques
Applications of the CAPM in Valuation and Portfolio Management
Chapter 5: Arbitrage Pricing Theory (APT)

Introduction to Arbitrage and Arbitrage-Free Pricing
The APT Model: Assumptions and Derivation
Factors in the APT Model: Risk and Return Decomposition
Comparing APT to CAPM: Strengths and Weaknesses
Empirical Applications of APT
Chapter 6: Consumption-Based Asset Pricing Models

The Intertemporal Capital Asset Pricing Model (ICAPM)
The Role of Consumption and Wealth in Asset Pricing
The Modigliani-Miller Theorem and Consumption-Smoothing
Empirical Evidence and Criticism of Consumption-Based Models
Chapter 7: Behavioral Finance and Asset Pricing

The Foundations of Behavioral Finance
Investor Psychology and Decision-Making Biases
Overreaction, Underreaction, and Market Anomalies
The Role of Investor Sentiment in Asset Pricing
Critiques and Extensions of Traditional Asset Pricing Theories
Chapter 8: Multi-Factor Models

The Fama-French Three-Factor Model
The Carhart Four-Factor Model
Momentum, Size, Value, and Other Risk Factors
Testing Multi-Factor Models and Their Empirical Success
Applications of Multi-Factor Models in Asset Pricing
Chapter 9: Derivatives Pricing and Asset Pricing

The Role of Derivatives in Financial Markets
Option Pricing: The Black-Scholes Model
The Binomial Model for Option Pricing
Pricing Futures and Forwards
The Role of Hedging and Arbitrage in Asset Pricing
Chapter 10: Fixed-Income Asset Pricing

Understanding Bonds and Interest Rates
The Yield Curve and Term Structure of Interest Rates
Pricing Government and Corporate Bonds
The Role of Credit Risk and Default Risk in Bond Pricing
Fixed-Income Derivatives and Asset Pricing
Chapter 11: Empirical Testing of Asset Pricing Models

Methodologies for Testing Asset Pricing Theories
Event Studies and Market Anomalies
The Role of Data in Testing Asset Pricing Models
The Limits of Empirical Testing and Model Refinement
Chapter 12: Risk Management and Asset Pricing

The Relationship Between Risk and Return
Risk Metrics: Standard Deviation, VaR, and Other Measures
Hedging Techniques and Their Effect on Asset Pricing
Portfolio Optimization and Risk Management Tools
Chapter 13: Advanced Topics in Asset Pricing

Stochastic Volatility Models
Real Options and Asset Pricing
The Role of Liquidity in Asset Pricing
Tail Risk and Extreme Value Theory in Asset Pricing
The Impact of Globalization and Political Risk on Asset Pricing
Chapter 14: The Future of Asset Pricing Theory

Technological Advances in Financial Modelling
Machine Learning and Artificial Intelligence in Asset Pricing
The Impact of Behavioral Economics on Future Models
Emerging Markets and Asset Pricing Theory

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George Pennacchi,Asset Pricing