Asset Pricing

Asset Pricing. Reversed Edition. Bringing the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea–price equals expected discounted payoff–that captures the macro-economic risks underlying each security’s value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model–consumption based, CAPM, multifactor, term structure, and option pricing–is derived as a different specification of the discounted factor. A few pencil notes has been added here and there.