Theory of Asset Pricing PDF Download Ebook. George Pennacchi 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 reader a well-rounded introduction to modern asset pricing theory that does not require a high level of mathematical complexity. 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.
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.
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