New asset pricing model revolutionizes investment strategies for advanced finance students.
This book explains how assets, derivatives, and bonds are priced in a complete markets framework using a pricing kernel. It covers asset pricing in a single period model, including the Capital Asset Pricing Model. The book also looks at how non-marketable risks affect pricing, derives prices for call options, and extends the analysis to multi-period economies. Additionally, it discusses pricing forward and futures contracts, as well as bonds with stochastic interest rates.