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Asset Pricing

4.32  ·  Rating details ·  77 ratings  ·  5 reviews
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings 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 ...more
Hardcover, 533 pages
Published January 23rd 2005 by Princeton University Press (first published January 8th 2001)
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Kevin K. Gillette
Apr 21, 2014 rated it it was amazing
Prof. Cochrane brings enthusiasm and extraordinary insights into this exciting domain within mathematical finance. He shares results from the work of recent Nobel laureates Gene Fama and Lars Peter Hansen, both colleagues of his at the Booth Graduate School at University of Chicago.

Asset pricing is a subject that relies heavily on the Ito calculus, an example of stochastic calculus that has contributed to numerous results, including the famous Black-Scholes-Merton formula for pricing
...more
Yasiru (reviews will soon be removed and linked to blog)
This is a really important book (also a course called Asset Pricing on Coursera) with an enlightening and encompassing modern perspective, but the deferred rigour can be nothing less than aggravating. I've had to refresh things minutely from old uni notes to keep up with the subtleties of the discussion. Will update here how it goes.
Kristofer
Oct 04, 2017 rated it really liked it
This is really a 3.5 star book. Mainly because the second half isn't as strong as the first. The first half starts off with an impressive derivational approach to financial econ that will be much appreciated by students used to more dogmatic teachers. However, as the book progresses derivations get less rigorous, perhaps due to the field being in flux, but to a degree that some readers (especially non-PhDs) in the subject may get left behind.
Qiswrk Harle
Aug 13, 2018 rated it liked it
pure theory
Yuekun Liu
Feb 07, 2016 rated it it was amazing
Actually I havent finish reading it yet. However, this is the greatest textbook so far I met. John Cochrane is a wise person who could make tough things easier to understand. And he is contagiously enthusiastic. People who are interested in asset pricing can also visit his juicy personal website and watch his online course: https://class.coursera.org/assetprici....

HmmRead some baby physics may increase the enjoyment because of the reflection in either the principal and the attitude.

In any case,
...more
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