Business

• A user-friendly presentation builds student knowledge, offering equal exposure to technical rigor and motivating discussions.
• Coverage of current valuation techniques includes single- and multi-period models; models set in discrete-time and continuous-time; and models of endowment economies and production economies.
• A broad range of up-to-date topics—including derivatives, and default-free and defaultable fixed income securities—provides the most current research.
• Recent modeling of non-time-separable utility and utility that reflects behavioral biases is included, in addition to models of standard, time-separable expected utility functions.
• While much of the analysis makes standard “perfect markets” assumptions, the book also examines the effects of asymmetric information on trading and asset prices.
• End-of-chapter summaries and exercises reinforce concepts presented in the text.

PART I SINGLE-PERIOD PORTFOLIO CHOICE AND ASSET PRICING

---

Chapter 1 Expected Utility and Risk Aversion
1.1 Preferences When Returns Are Uncertain
1.2 Risk Aversion and Risk Premia
1.3 Risk Aversion and Portfolio Choice

Chapter 2 Mean-Variance Analysis
2.1 Assumptions on Preferences and Asset Returns
2.2 Investor Indifference Relations
2.3 The Efficient Frontier
2.4 The Efficient Frontier with a Riskless Asset
2.5 An Application to Cross-Hedging

Chapter 3 CAPM, Arbitrage, and Linear Factor Models
3.1 The Capital Asset Pricing Model
3.2 Arbitrage
3.3 Linear Factor Models

Chapter 4 Consumption-Savings Decisions and State Pricing
4.1 Consumption and Portfolio Choices
4.2 An Asset Pricing Interpretation
4.3 Market Completeness, Arbitrage, and State Pricing

PART II MULTIPERIOD CONSUMPTION, PORTFOLIO CHOICE, AND ASSET PRICING

---

Chapter 5 A Multiperiod Discrete Time Model of Consumption
and Portfolio Choice
5.1 Assumptions and Notation of the Model
5.2 Solving the Multiperiod Model
5.3 Example Using Log Utility

Chapter 6 Multiperiod Market Equilibrium
6.1 Asset Pricing in the Multiperiod Model
6.2 The Lucas Model of Asset Pricing
6.3 Rational Asset Price Bubbles

PART III CONTINGENT CLAIMS PRICING

---

Chapter 7 Basics of Derivative Pricing
7.1 Forward and Option Contracts
7.2 Binomial Option
7.3 Binomial Model Applications

Chapter 8 Essentials of Diffusion Processes and Itô’s Lemma
8.1 Pure Brownian Motion
8.2 Diffusion Processes
8.3 Functions of Continuous-Time Processes and Itô’s Lemma

Chapter 9 Dynamic Hedging and PDE Valuation
9.1 Black-Scholes Option Pricing
9.2 An Equilibrium Term Structure Model
9.3 Option Pricing with Random Interest Rates

Chapter 10 Arbitrage, Martingales, and Pricing Kernels
10.1 Arbitrage and Martingales
10.2 Arbitrage and Pricing Kernels
10.3 Alternative Price Deflators
10.4 Applications

Chapter 11 Mixing Diffusion and Jump Processes
11.1 Modeling Jumps in Continuous Time
11.2 Itô’s Lemma for Jump-Diffusion Processes
11.3 Valuing Contingent Claims

PART IV ASSET PRICING IN CONTINUOUS TIME

---

Chapter 12 Continuous-Time Consumption and Portfolio Choice
12.1 Model Assumptions
12.2 Continuous-Time Dynamic Programming
12.3 Solving the Continuous-Time Problem
12.4 The Martingale Approach to Consumption and Portfolio Choice

Chapter 13 Equilibrium Asset Returns
13.1 An Intertemporal Capital Asset Pricing Model
13.2 Breeden’s Consumption CAPM
13.3 A Cox, Ingersoll, and Ross Production Economy

Chapter 14 Time-Inseparable Utility
14.1 Constantinides’ Internal Habit Model
14.2 Campbell and Cochrane’s External Habit Model
14.3 Recursive Utility

PART V ADDITIONAL TOPICS IN ASSET PRICING

---

Chapter 15 Behavioral Finance and Asset Pricing
15.1 The Effects of Psychological Biases on Asset Prices
15.2 The Impact of Irrational Traders on Asset Prices

Chapter 16 Asset Pricing with Differential Information
16.1 Equilibrium with Private Information
16.2 Asymmetric Information, Trading, and Markets

Chapter 17 Models of the Term Structure of Interest Rates
17.1 Equilibrium Term Structure Models
17.2 Valuation Models for Interest Rate Derivatives

Chapter 18 Models of Default Risk
18.1 The Structural Approach
18.2 The Reduced-Form Approach

Asset Pricing  [CORE TEXTS]   (Finance)

George G. Pennacchi is a professor of finance and a co-director of the Office for Banking Research at the University of Illinois at Urbana-Champaign.  He is also a Research Associate at the Federal Reserve Bank of Cleveland and the Program Coordinator for Deposit Insurance at the Federal Deposit Insurance Corporation’s Center for Financial Research.  His research focuses on financial intermediaries and the valuation of fixed-income securities and government guarantees.

 

Currently, he is an editor of the Journal of Financial Intermediation and an associate editor of the Journal of Banking and Finance, the Journal of Financial and Quantitative Analysis, the Journal of Financial Services Research, and the Journal of Money, Credit and Banking.  Previously, he was an associate editor for the Journal of Finance, the Review of Financial Studies, and Management Science, and a co-editor of Advances in Futures and Options Research.

 

His consulting experience includes work for the U.S. Office of Management and Budget, the World Bank, and the International Monetary Fund.  He has been a visiting professor at Università Bocconi in Milan, Italy, and was a member of the finance faculty at the Wharton School of the University of Pennsylvania.  Mr. Pennacchi received a Sc.B. degree in applied mathematics from Brown University in 1977 and a Ph.D. in economics from the Massachusetts Institute of Technology in 1984.

Professional Copy for Theory of Asset Pricing
Pennacchi
©2008 | Prentice Hall | Cloth; 400 pp | Instock
ISBN-10: 0321500261 | ISBN-13: 9780321500267
Suggested retail price: $0.00Net price: $0.00  (What's this?)

Online Instructor's Solutions Manual for Theory of Asset Pricing
Pennacchi
©2008 | Prentice Hall | On-line Supplement | Instock
ISBN-10: 0321495918 | ISBN-13: 9780321495914
Online purchase price: $80.00     View Downloadable Files

For the Finance Discipline

FinCoach 2.0: CD-ROM Edition
Handa
©2002 | Prentice Hall | CD-ROM Only | Instock
ISBN-10: 0130606189 | ISBN-13: 9780130606181
Suggested retail price: $50.67  Buy from myPearsonStore
Net price: $38.00  (What's this?)

Wall Street Journal User's Guide, The
Addison-Wesley
©2004 | Prentice Hall | Paper | Instock
ISBN-10: 0321267001 | ISBN-13: 9780321267009
Suggested retail price: $0.00Net price: $0.00  (What's this?)

Give your students a choice! PearsonChoices products are designed to give your students more value and flexibility by letting them choose from a variety of text and media formats to best match their learning style and their budget.

Pearson Higher Education offers special pricing when you choose to package your text with other student resources. If you're interested in creating a cost-saving package for your students, see the Packages Tab.

• 
  Pearson Custom Business Resources
  Pearson Learning Solutions
  ©2009 | Prentice Hall | On-line Supplement | Instock
  ISBN-10: 0136096557 | ISBN-13: 9780136096559
  This online resource is available at no cost.Brief Description

  

  PEARSON CUSTOM BUSINESS RESOURCES

   

  Build your own CASEBOOK or TEXT in 3 easy steps!

   

  CLICK HERE to get started.

   

  In a field as broad as Business and Economics, it’s difficult to find content that’s a perfect fit.  Pearson Custom Business Resources (PCBR) — with access to the top case providers and hundreds of text and trade chapters — allows instructors like you to create the ideal resource for their students, one that completely matches the topics they want to teach.

   

  Perfectly suited for Principles of Management, Principles of Marketing, Accounting, Economics, and countless others, PCBR enables you to pull together the right case studies, articles, text or trade chapters for a book that matches your approach.  We offer the widest range of popular cases from leading providers Harvard, Ivey, Darden, and many more.

   

  Preview our extensive library online — over 20,000 case studies, articles, and text chapters - and build your perfect course text quick and easy. 

   

  We're so confident in our ability to deliver a solution that works best for you and your students, we'll send you a FREE review copy before you make your adoption decision so you can judge for yourself.

   

  NEW ADDITIONS:

  • 3,000 cases from provider ecch
  • Dozens of new editions from the Prentice Hall business list
  • Updated Case Navigator with the latest suggested cases to your text or course

   

  Help your students; help yourself.  Create a resource that delivers the best possible value — all of the content they need to succeed, and no wasted material or unnecessary expense.

   

  Have questions?  Email us at customlibrary@pearson.com.

Pearson Higher Education offers special pricing when you choose to package your text with other student resources. If you're interested in creating a cost-saving package for your students contact your Pearson Higher Education representative.