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Asset Pricing in Discrete Time: A Complete Markets Approach

Ser-Huang Poon and Richard Stapleton

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.001.0001
Subject:
Economics and Finance, Financial Economics

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily ... More


Opening Models of Asset Prices and Risk to Nonroutine Change

Roman Frydman and Michael D. Goldberg

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0007
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter considers an alternative approach to economic analysis, Imperfect Knowledge Economics (IKE), and introduces a model of asset prices and risk that has explicit mathematical ... More


Heterogeneous Gain Learning and Long Swings in Asset Prices

Blake LeBaron

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter focuses on heterogeneous gain learning and long swings in asset prices. Many asset prices deviate from their fundamental values, yielding potential long-run predictability. Asset price ... More


The Generation and Distribution of Wealth

Tsuneo Ishikawa

in Income and Wealth

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198288626
eISBN:
9780191596469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019828862X.003.0007
Subject:
Economics and Finance, Public and Welfare

This chapter discusses the basic determinants of the generation of wealth and its distribution across households; it has four sections. Section 7.1 considers the life cycle motive as a basis of ... More


Dynamics of Crises

Giovanni Piersanti

in The Macroeconomic Theory of Exchange Rate Crises

Published in print:
2012
Published Online:
September 2012
ISBN:
9780199653126
eISBN:
9780191741210
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199653126.003.0005
Subject:
Economics and Finance, Macro- and Monetary Economics

In order to describe the path followed by major macroeconomic variable around the time of crises, this chapter examines some dynamic models. It thus shows how the dynamic adjustment path of the ... More


A Simple OTC Pricing Model

Darrell Duffie

in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter presents a simple introduction to asset pricing in over-the-counter markets. Investors search for opportunities to trade and bargain with counterparties, each counterparty being aware ... More


No‐Trade Theorems, Competitive Asset Pricing, and Bubbles

Markus K. Brunnermeier

in Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding

Published in print:
2001
Published Online:
November 2003
ISBN:
9780198296980
eISBN:
9780191596025
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296983.003.0002
Subject:
Economics and Finance, Financial Economics

Ch. 2 first exposes the reader to a more tractable notion of common knowledge and the intuition behind proofs of the different no‐trade theorems. The no‐trade theorems state the specific conditions ... More


Which Way Forward for Macroeconomics and Policy Analysis?

Roman Frydman and Edmund S. Phelps

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

This introductory chapter discusses the papers presented at the Center on Capitalism and Society conference held in the fall of 2010. The conference, which commemorated the fortieth anniversary of ... More


Practical Issues in United Kingdom Monetary Policy, 2000–2005: Keynes Lecture In Economics

STEPHEN NICKELL

in Proceedings of the British Academy, Volume 139, 2005 Lectures

Published in print:
2007
Published Online:
January 2012
ISBN:
9780197263945
eISBN:
9780191734038
Item type:
chapter
Publisher:
British Academy
DOI:
10.5871/bacad/9780197263945.003.0001
Subject:
History, Cultural History

This chapter discusses some of the topics the Bank of England Monetary Policy Committee has spent a lot of time on. It first examines the rapid rise in household debt and its implications for ... More


The Long Swings of Employment, Investment, and Asset Prices

Gylfi Zoega

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0010
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter examines the long swings of employment, investment, and asset prices. It highlights one stylized fact that a model of the natural rate of unemployment should be able to take into ... More


The Determination of Equity Prices

Hendrik S. Houthakker and Peter J. Williamson

in The Economics of Financial Markets

Published in print:
1996
Published Online:
November 2003
ISBN:
9780195044072
eISBN:
9780199832958
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019504407X.003.0006
Subject:
Economics and Finance, Financial Economics

Drawing on Chs. 4 and 5 (which discuss the supply and demand for securities separately), this chapter investigates whether economics has anything helpful to say about the prices of shares and related ... More


A Review of General Asset Pricing Theory

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0004
Subject:
Economics and Finance, Financial Economics

The pricing of fixed income securities follows the same general principles as the pricing of all other financial assets. This chapter explains some important general concepts and results in asset ... More


Indeterminacies in Wage and Asset Price Expectations: A Structuralist Model of Employment and Growth

Edmund S. Phelps

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0009
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter examines indeterminacies in wage and asset price expectations. It first considers what it argues are fatal flaws in Keynesian economics, comparing crude Keynesianism with a crude natural ... More


OPTION PRICING IN A SINGLE-PERIOD MODEL

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0003
Subject:
Economics and Finance, Financial Economics

‘Option Pricing in a Single-Period Model’ uses the one-period complete markets model to derive forward prices of European-style options relates them to the forward price of the underlying asset. The ... More


ASSET PRICES IN A SINGLE-PERIOD MODEL

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0001
Subject:
Economics and Finance, Financial Economics

‘Asset Prices in a Single-period Model’ derives asset prices in a one-period model. The authors derive a version of the Capital Asset Pricing Model (CAPM) using a complete market, state-contingent ... More


Financial Asset Pricing Theory

Claus Munk

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.001.0001
Subject:
Economics and Finance, Econometrics

“Financial Asset Pricing Theory” offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price ... More


Asset Pricing in an International Setting

LEIGH A. RIDDICK

in International Finance: A Survey

Published in print:
2012
Published Online:
May 2013
ISBN:
9780199754656
eISBN:
9780199979462
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199754656.003.0014
Subject:
Economics and Finance, Financial Economics, International

Several factors complicate the tasks of valuing assets in a portfolio and measuring their risk-adjusted performance in an international setting. Chief among these are currency and inflation effects ... More


Experience of the Early 1990s

E. Philip Davis

in Debt, Financial Fragility, and Systemic Risk

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198233312
eISBN:
9780191596124
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198233310.003.0010
Subject:
Economics and Finance, Financial Economics

Chapters 9 and 10 were written for the Second Edition of the book in mid 1994. This chapter seeks to provide further evidence on the importance of the mechanisms of financial fragility and ... More


Learning as a Rational Foundation for Macroeconomics and Finance

George W. Evans and Seppo Honkapohja

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0003
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter examines the central ideas about learning and bounded rationality for macroeconomics and finance. It first introduces the main methodological issues concerning expectation formation and ... More


Epilogue

Giovanni Piersanti

in The Macroeconomic Theory of Exchange Rate Crises

Published in print:
2012
Published Online:
September 2012
ISBN:
9780199653126
eISBN:
9780191741210
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199653126.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter concludes the book and discusses some hotly debated issues in crises prevention, with special emphasis on the role of assets prices movements and the optimal choice of an exchange rate ... More


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