Principles of Financial Economics
Published on 20. November 2000
Book
Hardback
300 pages
978-0-521-58434-0 (ISBN)
Description
Financial economics, and the calculations of time and uncertainty derived from it, are playing an increasingly important role in non-finance areas, such as monetary and environmental economics. In this 2001 book, Professors Le Roy and Werner supply a rigorous yet accessible graduate-level introduction to this subfield of microeconomic theory and general equilibrium theory. Since students often find the link between financial economics and equilibrium theory hard to grasp, they devote less attention to purely financial topics such as calculation of derivatives, while aiming to make the connection explicit and clear in each stage of the exposition. Emphasis is placed on detailed study of two-date models, because almost all of the key ideas in financial economics can be developed in the two-date setting. In addition to rigorous analysis, substantial sections of discussion and examples are included to make the ideas readily understandable.
Reviews / Votes
'This is an excellent introduction to the exciting field of financial economics, rigorous yet filled with economic intuition, and with a refreshing emphasis on equilibrium that is reminiscent of Debreu's elegant and pithy monograph.' Andrew Lo, Massachusetts Institute of TechnologyMore details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Illustrations
19 Line drawings, unspecified
Dimensions
Height: 264 mm
Width: 185 mm
Thickness: 24 mm
Weight
749 gr
ISBN-13
978-0-521-58434-0 (9780521584340)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Stephen F. LeRoy | Jan Werner
Principles of Financial Economics
Book
08/2014
2nd Edition
Cambridge University Press
€165.30
Available immediately
Additional editions
E-Book
12/2004
Cambridge University Press
€29.49
Available for download
Persons
Content
Part I. Equilibrium and Arbitrage: 1. General equilibrium in security markets; 2. Linear pricing; 3. Arbitrage and positive pricing; 4. Portfolio restrictions; Part II. Valuation: 5. Valuation; 6. State prices and risk-neutral probabilities; 7. Valuation under portfolio restrictions; Part III. Risk: 8. Expected utility; 9. Risk aversion; 10. Risk; Part IV. Optimal Portfolios: 11. Optimal portfolios with one risky security; 12. Comparative statics of optimal portfolios; 13. Optimal portfolios with several risky securities; Part V. Equilibrium Prices and Allocations: 14. Consumption-based security pricing; 15. Complete markets and Pareto-optimal allocations of risk; 16. Optimality in incomplete security markets; Part VI. Mean-Variance Models: 17. The expectations and pricing kernels; 18. The mean-variance frontier payoffs; 19. CAPM; 20. Factor pricing; Part VII. Multidate Models: 21. A multidate model of security markets; 22. Multidate arbitrage and positivity; 23. Dynamically complete markets; 24. Valuation; 25. Event process, risk-neutral probabilities and the pricing kernel; 26. Security gains as martingales; 27. Consumption-based security pricing; 28. The frontier payoffs and the CAPM.