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Asset Pricing of Dynamic Economies(2008)
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Cambridge University Press
© Sumru Altug and Pamela Labadie 2008
I B A S IC C O N C E P T S 1
1 Complete contingent claims 3
2 Arbitrage and asset valuation 25
3 Expected utility 51
4 CAPM and APT 72
5 Consumption and saving 86
II R E C U R S I V E M O D E L S 107
6 Dynamic programming 109
7 Intertemporal risk sharing 133
8 Consumption and asset pricing 162
9 Non-separable preferences 202
10 Economies with production 239
11 Investment 285
12 Business cycles
III M O N E TA RY A N D I N T E R N AT I O N A L M O D E L S 371
13 Models with cash-in-advance constraints
14 International asset markets
IV M O D E L S W I T H M A R K E T I N C O M P L E T E N E S S 459
15 Asset pricing with frictions
16 Borrowing constraints
17 Overlapping generations models 504
V S U P P L E M E N TA RY MAT E R I A L 547
A Mathematical appendix 549
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