Neoclassical Finance

Stephen A. Ross

102 pages, parution le 30/11/2004

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Résumé

Neoclassical Finance provides a concise and powerful account of the underlying principles of modern finance, drawing on a generation of theoretical and empirical advances in the field. Stephen Ross developed the no arbitrage principle, tying asset pricing to the simple proposition that there are no free lunches in financial markets, and jointly with John Cox he developed the related concept of risk-neutral pricing. In this book Ross makes a strong case that these concepts are the fundamental pillars of modern finance and, in particular, of market efficiency. In an efficient market prices reflect the information possessed by the market and, as a consequence, trading schemes using commonly available information to beat the market are doomed to fail.

By stark contrast, the currently popular stance offered by behavioral finance, fueled by a number of apparent anomalies in the financial markets, regards market prices as subject to the psychological whims of investors. But without any appeal to psychology, Ross shows that neoclassical theory provides a simple and rich explanation that resolves many of the anomalies on which behavioral finance has been fixated.

Based on the inaugural Princeton Lectures in Finance, sponsored by the Bendheim Center for Finance of Princeton University, this elegant book represents a major contribution to the ongoing debate on market efficiency, and serves as a useful primer on the fundamentals of finance for both scholars and practitioners.

L'auteur - Stephen A. Ross

Stephen A. Ross Professeur de finance à la Sloan School of Management du Massachusetts Institute of Technology (MIT).

Stephen A. Ross is the Franco Modigliani Professor of Finance and Economics at the Massachusetts Institute of Technology. Best known as the originator of arbitrage pricing theory and as the codiscoverer of risk-neutral pricing and the binomial model for pricing derivatives, he is the coauthor of the best-selling textbook series in finance, Corporate Finance.

Sommaire

Preface
No Arbitrage : The Fundamental Theorem of Finance
Bounding the Pricing Kernel, Asset Pricing, and Complete Markets
Efficient Markets
A Neoclassical Look at Behavioral Finance : The Closed-End Fund Puzzle
Bibliography
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Princeton University Press
Auteur(s)	Stephen A. Ross
Parution	30/11/2004
Nb. de pages	102
Format	16 x 24
Couverture	Relié
Poids	329g
Intérieur	Noir et Blanc
EAN13	9780691121383
ISBN13	978-0-691-12138-3