Contents
Acknowledgments 3
1 Preface 5
Part I. Asset pricing theory 9
2 Consumptionbased
model and overview 10
2.1 Basic pricing equation 10
2.2 Marginal rate of substitution/stochastic discount factor 12
2.3 Prices, payoffs and notation 13
2.4 Classic issues in ¿nance 15
2.5 Discount factors in continuous time 29
2.6 Problems 34
3 Applying the basic model 38
3.1 Assumptions and applicability 38
3.2 General Equilibrium 40
3.3 Consumptionbased
model in practice 44
3.4 Alternative asset pricing models: Overview 47
4 Contingent Claims Markets 49
4.1 Contingent claims 49
4.2 Risk neutral probabilities 50
4.3 Investors again 51
4.4 Risk sharing 53
4.5 State diagram and price function 54
5 The discount factor 58
5.1 Law of one price and existence of a discount factor 58
5.2 NoArbitrage
and positive discount factors 64
5.3 An alternative formula, and x in continuous time?? 68
4
6 Meanvariance
frontier and beta representations 72
6.1 Expected return Beta
representations 72
6.2 Meanvariance
frontier: Intuition and Lagrangian characterization 75
6.3 An orthogonal characterization of the meanvariance
frontier 78
6.4 Spanning the meanvariance
frontier 84
6.5 A compilation of properties of U>Uh and { 84
6.6 Problems 87
7 Relation between discount factors, betas, and meanvariance
frontiers 88
7.1 From discount factors to beta representations 88
7.2 From meanvariance
frontier to a discount factor and beta representation 92
7.3 Factor models and discount factors 95
7.4 Discount factors and beta models to mean variance
frontier 99
7.5 Three riskfree rate analogues 100
7.6 Meanvariance
special cases with no riskfree rate 105
7.7 Problems 109
8 Implications of existence and equivalence theorems 110
9 Conditioning information 118
9.1 Scaled payoffs 119
9.2 Suf¿ciency of adding scaled returns 121
9.3 Conditional and unconditional models 123
9.4 Scaled factors: a partial solution 130
9.5 Summary 132
10 Factor pricing models 133
10.1 Capital Asset Pricing Model (CAPM) 135
10.2 Intertemporal Capital Asset Pricing Model (ICAPM) 146
10.3 Comments on the CAPM and ICAPM 148
10.4 Arbitrage Pricing Theory (APT) 151
10.5 APT vs. ICAPM 160
10.6 Problems 161
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Part II. Estimating and evaluating asset pricing models 162
11 GMM in explicit discount factor models 165
11.1 The Recipe 165
11.2 Interpreting the GMM procedure 168
11.3 Applying GMM 172
12 GMM: general formulas and applications 176
12.1 General GMM formulas 176
12.2 Testing moments 180
12.3 Standard errors of anything by delta method 181
12.4 Using GMM for regressions 182
12.5 Prespeci¿ed weighting matrices and moment conditions 184
12.6 Estimating on one group of moments, testing on another. 193
12.7 Estimating the spectral density matrix 193
12.8 Problems 200
13 Regressionbased
tests of linear factor models 202
13.1 Timeseries
regressions 202
13.2 Crosssectional
regressions 207
13.3 FamaMacBeth
Procedure 216
13.4 Problems 222
14 GMM for linear factor models in discount factor form 223
14.1 GMM on the pricing errors gives a crosssectional
regression 223
14.2 The case of excess returns 225
14.3 Horse Races 227
14.4 Testing for characteristics 228
14.5 Testing for priced factors: lambdas or b’s? 229
14.6 Problems 233
15 Maximum likelihood 235
15.1 Maximum likelihood 235
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15.2 ML is GMM on the scores 237
15.3 When factors are returns, ML prescribes a timeseries
regression. 239
15.4 When factors are not excess returns, ML prescribes a crosssectional
regression 243
15.5 Problems 244
16 Timeseries
vs. cross section ML vs. GMM 246
16.1 Time series vs. crosssection
246
16.2 ML vs. GMM 250
Part III. Bonds and options 261
17 Option pricing 263
17.1 Background 263
17.2 BlackScholes
formula 270
17.3 Problems 276
18 Option pricing without perfect replication 277
18.1 On the edges of arbitrage 277
18.2 Oneperiod
good deal bounds 278
18.3 Multiple periods and continuous time 285
18.4 Extensions, other approaches, and bibliography 294
19 Term structure of interest rates 296
19.1 De¿nitions and notation 296
19.2 Yield curve and expectations hypothesis 300
19.3 Term structure models – a discretetime
introduction 303
19.4 Continuous time term structure models 307
19.5 Three famous linear term structure models 312
19.6 Bibliography 323
19.7 Problems 325
Part IV. A brief empirical survey 326
7

pdf，好极了！

谢谢楼主，继续努力

thx

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