"An excellent survey of asset pricing theory and applications from
the modern viewpoint of stochastic discount factors and their
associated geometry. This book was already a classic among finance
scholars and on Ph.D. syllabi when it circulated in the form of
class notes. It will also prove highly useful to practitioners who
seek an in-depth introduction to these tools."--Yacine Ait-Sahalia,
Princeton University
"This is a beautiful book that uses the elegant simplicity of
the stochastic discount factor to present a general theory of the
pricing of stocks, bonds, and derivatives and a practical approach
to estimating particular models derived from the general theory. It
will help experts in the field to consolidate their knowledge and
beginners to appreciate the unity of asset pricing theory. Cochrane
uses his mastery of the subject to present it in a clear and
compelling manner that is easily accessible."--Michael Brennan,
Anderson School, University of California, Los Angeles
"This is an impressive treatise of very high quality. It is a
serious scholarly monograph, of interest to those who are working
to advance financial theory, and it can also serve as a textbook in
an advanced finance course. It is thoughtful, inductive, and
comprehensive."--Robert J. Shiller, author of "Irrational
Exuberance"
"This is a sparkling, intuitive, makes-it-look-easier-than-it
really-is, gem of a book . . . Cochrane's focus is the classical
asset pricing models of frictionless markets and rational
expectations. But the lessons learned are relevant in many
empirical contexts. Cochrane's clever intuition and easy, informal
writing style make the book a joy to read."--Wayne Ferson,
BostonCollege
"This book represents an exciting step forward in the exposition
of financial economics. The last twenty years of finance research
have advanced and enriched the field, and textbook treatments have
lagged behind these developments. This text will replace the
previous generation of books and should have a broad market. It is
written in an informal, almost breezy style that will appeal to
students and is divided into small, easily digested chapters. . . .
The book moves easily between discrete-time and continuous-time
models. This is an excellent thing as it encourages students to see
beyond the formalism to the underlying economics. I strongly
recommend it as an advanced finance text."--John Y. Campbell,
coauthor of "The Econometrics of Financial Markets"
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