Unformatted text preview: Reference List 1 for STOR 890, Spring 2011  Introduction to the Economics and Mathematics of Financial Markets (J. Cvitanic and F. Zapatero, 2004, MIT Press) — an accessible treatise of asset pricing theory and some other topics, both discrete-time and continuous-time models covered.  Stochastic Calculus for Finance, Vol I & II (Steven Shreve, 2004, Springer) — a superb rigorous treatment for discrete-time (Vol I) and continuous-time (Vol II) finance.  Arbitrage Theory in Continuous Time (2nd edition, Tomas Bjork, 2004, Oxford Univ. Press) — a broad coverage of many topics in asset pricing theory, presented at a high mathematical level but in a lucid style, focusing on continuous-time models.  Asset Pricing (revised edition, John Cochrane, 2005, Princeton Univ. Press) — a beautiful book of asset pricing from the modern viewpoint of stochastic discounted factors.  The Econometrics of Financial Markets (J.Y. Campbell, A. Lo and A.C. MacKinlay, 1997, Princeton Univ. Press) — a comprehensive book in empirical finance.Princeton Univ....
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- Spring '08
- Economics, MIT Press, Princeton Univ, asset pricing theory