This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long t…
In the "Handbook of Asset and Liability Management: From Models to Optimal Return Strategies", Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathe…
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 deflator which relates the price of any asset to its future (risky) dividends and t…
Review: "Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing." "Costis Skiadas develops in depth the fundamentals of arbitrage pricing,…
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. By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the …
Finance theory and asset pricing
by Milne, Frank
fromVienna Institute for advanced studies
This text offers advanced undergraduates, MBA students and executives the theory and the practical tools needed to price and hedge derivatives in the professional marketplace. The author makes the theory and practice of pricing and hedging derivative securities accessible to ma…