Asset Pricing for Dynamic Economies 1st Edition by Sumru Altug, Pamela Labadie ISBN 0511429177 9780521699143

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Product details:

ISBN 10: 0511429177

ISBN 13: 9780521699143 

Author: Sumru Altug, Pamela Labadie

This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features:Provides a consistent framework for understanding dynamic economic modelsIntroduces key concepts in finance in a discrete time settingDevelops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environmentSequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset pricesReviews business cycle analysis and the business cycle implications of monetary and international modelsCovers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costsIncludes end-of-chapter exercises allowing readers to monitor their understanding of each topic 

Table of contents:

Frontmatter

Contents

List of figures

List of tables

Preface

Part I – Basic Concepts

Complete contingent claims

Arbitrage and asset valuation

Expected utility

CAPM and APT

Consumption and saving

Part II – Recursive Models

Dynamic programming

Intertemporal risk sharing

Consumption and asset pricing

Non-separable preferences

Economies with production

Investment

Business cycles

Part III – Monetary and International Models

Models with cash-in-advance constraints

International asset markets

Part IV – Models with Market Incompleteness

Asset pricing with frictions

Borrowing constraints

Overlapping generations models

Part V – Supplementary Material

Mathematical appendix

Bibliography

Index

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Tags: Sumru Altug, Pamela Labadie, Asset Pricing, Dynamic, Economies