Product Description

Based on courses developed by the author over several years, this book provides access to a broad area of research that is not available in separate articles or books of readings. Topics covered include the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multiperiod portfolio problems and the Intertemporal Capital Asset Pricing Model, the Black-Scholes option pricing model and contingent claims analysis, "risk-neutral" pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest rates and the term structure, and others.

Product Details

• Amazon Sales Rank: #661114 in Books
• Published on: 1987-06-28
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 496 pages

Customer Reviews

A Revision, Please!
The books presents traditional finance economics. It is a very good and a classical book. But it is not easy to read because of its terrible, old-fashioned notation and writing.

It is plenty of examples and gives a very good intuition. So I'd say it is good because it teaches traditional finance since the beginning in a way one can understand finance and the underlying math.

Clearly, the book needs a revision to put it into the modern language of financial economics as well as to add the results (and models) that have been published in papers in the last 20 years.

As I said, without a revision, reading the book is not enough to allow one to understand modern papers published in the field. As a result, after reading it you will not be able to say you know finance. But without knowing what the book is about, you will not be also able to say you know finance. Of course you can consult other sources, but even with the terrible notation, it is a pleasure to read, for instance, chapter 2 (Arbitrage), chapter 4 (mean-variance portfolio analysis) or chapter 11 (discrete-time intertemporal portfolio selection).

This book is excellent. Every page is important!
This book is very good. It contains broad contents. Of course, it's not sufficient for a financial economist -impossible for a single book. It contains asset pricing theories from discrete-time models to continuous-time models,and from two-period models to intertemporal models. For a beginner, starting with Huang and Litzenberger is a better idea. Need introduction to continuous-time finance? Neftci is good, Merton is good, and Dothan is for advanced.

Outdated and Unclear
This book is possibly the worst textbook I have ever read. The notation is unwieldy, the explanations are unclear and there is very little to help your intuition. This, by the way, is not because of the mathematical or technical content which goes no deeper than introductory stochastic calculus and control. Even if it were a good text, however, it would urgently need revising. The material is rooted firmly in the 70's and 80's with almost no emphasis whatsover on the martinagle represntation of asset prices.