Contents -- Acknowledgments -- Preface to the Second Edition -- Preface to the First Edition -- 1 Theory of Valuation: Overview and Recent Developments -- I. INTRODUCTION -- II. THE BASIC MODEL -- III. CONSUMPTION-BASED ASSET PRICING MODELS -- IV. THE CAPITAL ASSET PRICING MODEL -- V. THE INTERTEMPORAL CAPITAL ASSET PRICING MODEL -- VI. THE ARBITRAGE PRICING THEORY -- VII. THE INTERTEMPORAL ARBITRAGE PRICING THEORY -- VIII. INCOMPLETE MARKET -- IX. PRICING IMPLICATIONS OF THE NO-ARBITRAGE RESTRICTION -- X. FUTURE DIRECTIONS -- REFERENCES -- The valuation of uncertain income streams and the pricing of options -- Appendix -- References -- discussion: Market Incompleteness and the Equilibrium Valuation of Assets -- I. THE REPRESENTATIVE CONSUMER -- II. INCOMPLETE MARKETS -- NOTES -- REFERENCES -- AN INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES -- 1. Introduction -- 2. The economic model -- 3. A 'single-beta' intertemporal asset pricing model -- 4. An example -- 5. Properties of individuals' optimal consumption functions -- 6. Asset pricing with no riskless asset -- 7. Asset pricing with many consumption-goods -- 8. Conclusion -- Appendix 1: Proof of Theorem 1 -- Appendix 2 -- Appendix 3 -- References -- discussion: Intertemporal Asset Pricing -- I. THE EARLY MODELS -- II. THE CONSUMPTION BETA MODEL -- III. INTERTEMPORAL RATIONALITY -- IV. ARBITRAGE MODELS AND MARTINGALE ANALYSIS -- V. NEW DIRECTIONS, UNRESOLVED MATTERS, AND EMPIRICAL WORK -- VI. SOME FINAL POINTS -- REFERENCES -- IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES -- 1. INTRODUCTION -- 2. THE ECONOMY -- 3. ARROW-DEBREU EQUILIBRIUM -- 4. RADNER EQUILIBRIUM -- 5. THE SPANNING NUMBER OF RADNER EQUILIBRIA -- 6. DISCUSSION -- 6.1. The Gains Process and Admissible Trading Strategies.

6.2. Some Generalizations -- 6.3. Example: Economies on Event Trees -- 6.4. A Brownian Motion Example -- 7. CONCLUDING REMARKS -- APPENDIX MARTINGALE MULTIPLICITY -- REFERENCES -- discussion: Spanning in Financial Markets -- I. WELFARE RESULTS -- II. PRICING RESULTS -- III. BASIS AUGMENTING RESULTS -- IV. INTERTEMPORAL EXTENSIONS -- V. CONCLUSION -- NOTES -- REFERENCES -- A THEORY OF THE TERM STRUCTURE OF INTEREST RATES1 -- 1. INTRODUCTION -- 2. THE UNDERLYING EQUILIBRIUM MODEL -- 3. A SINGLE FACTOR MODEL OF THE TERM STRUCTURE -- 4. VALUING ASSETS WITH GENERAL INTEREST RATE DEPENDENT PAYOFFS -- 5. A COMPARISON WITH BOND PRICING BY ARBITRAGE METHODS -- 6. MULTIFACTOR TERM STRUCTURE MODELS AND THE USE OF PRICES AS INSTRUMENTAL VARIABLES -- 7. UNCERTAIN INFLATION AND THE PRICING OF NOMINAL BONDS -- 8. CONCLUDING COMMENTS -- REFERENCES -- discussion: Modeling the Term Structure of Interest Rates in General Equilibrium -- I. INTRODUCTION -- II. ECONOMETRIC ANALYSIS OF GENERAL EQUILIBRIUM MODELS OF THE TERM STRUCTURE -- A. Traditional Expectations Theories of the Term Structure -- B. Consumption Risk and the Historical Behavior of Interest Rates -- C. Econometric Analysis of Complete Models of the Term Structure -- III. INTRODUCING MONEY INTO A MODEL OF THE TERM STRUCTURE OF INTEREST RATES -- NOTES -- REFERENCES -- OPTIMAL BOND TRADING WITH PERSONAL TAXES* -- 1. Introduction -- 2. The tax environment -- 3. The model -- 4. An example -- 5. Optimal bond trading: The general case -- 6. Bond prices and the tax timing option -- 7. The tax-adjusted yield curve and implied tax rates -- 8. Municipal bonds -- 9. Concluding remarks -- References -- discussion: Tax Effects on the Pricing of Government Securities -- REFERENCES -- Capital Market Equilibrium with Transaction Costs -- I. Introduction -- II. The Model -- III. Proportional Transaction Costs.

IV. The Liquidity Premium -- V. Extensions and Concluding Remarks -- Appendix A Generalized Consumption Policy -- References -- Theory of rational option pricing -- 1. Introduction -- 2. Restrictions on rational option pricing4 -- 3. Effects of dividends and changing exercise price -- 4. Restrictions on rational put option pricing -- 5. Rational option pricing along Black-Scholes lines -- 6. An alternative derivation of the Black-Scholes model 40 -- 7. Extension of the model to include dividend payments and exercise price changes -- 8. Valuing an American put option -- 9. Valuing the "down-and-out" call option -- 10. Valuing a callable warrant -- Appendix 174 -- Appendix 2 -- References -- discussion: Option Pricing Theory and Its Applications -- I. INTRODUCTION -- II. THE MARTINGALE APPROACH TO OPTION PRICING -- A. The Setup -- B. Dynamic Spanning and the Martingale Representation Theorem -- C. Some Generalizations -- III. EXISTENCE AND PROPERTIES OF OPTIMAL STRATEGIES -- IV. APPLICATIONS TO CONTINGENT-CLAIM PRICING -- NOTES -- REFERENCES -- A Simple Approach to Arbitrage Pricing Theory -- 1. INTRODUCTION -- 2. ARBITRAGE PRICING -- 3. DISCUSSION -- REFERENCES -- discussion: Notes on the Arbitrage Pricing Theory -- I. PURE ARBITRAGE PRICING THEORY -- II. APPROXIMATE ARBITRAGE AND THE APT -- III. APPROXIMATE FACTOR MODELS -- IV. THE COMPETITIVE EQUILIBRIUM VERSION OF THE APT -- V. CONCLUSION -- NOTE -- REFERENCES -- Mutual Fund Separation in Financial Theory-The Separating Distributions -- INTRODUCTION -- 1. ONE FUND SEPARABILITY -- 2. TWO FUND SEPARABILITY -- Two Parameter Models -- Normally Distributed Returns -- Market Factor Models -- Capital Asset Pricing Theory -- Stochastic Dominance Theory -- 3. k-FUND SEPARABILITY -- 4. SOME EXTENSIONS -- 5. SUMMARY AND CONCLUSION -- APPENDIX -- ACKNOWLEDGMENTS -- REFERENCES.

discussion: Mutual Funds, Capital Structure, and Economic Efficiency -- I. THE MUTUAL FUND THEOREMS -- II. ON THE USES AND ABUSES OF ECONOMIC THEORY: SOME METHODOLOGICAL REMARKS -- III. IMPLICATIONS FOR DEBT-EQUITY RATIOS -- IV. PRICING STRUCTURE OF ASSETS -- V. FIRM DECISION MAKING -- VI. WELFARE PROPERTIES -- VII. CONCLUSIONS -- NOTES -- REFERENCES -- RECURSIVE COMPETITIVE EQUILIBRIUM: THE CASE OF HOMOGENEOUS HOUSEHOLDS -- 1. INTRODUCTION -- 2. THE ECONOMY -- Preferences -- Technology -- 3. SINGLE AGENT RECURSIVE STATISTICAL DECISIONS THEORY -- 4. RECURSIVE COMPETITIVE EQUILIBRIUM -- 5. PARETO OPTIMUM ALLOCATION -- 6. OPTIMALITY OF RECURSIVE EQUILIBRIUM -- 7. SUPPORTING PARETO OPTIMUM BY RECURSIVE COMPETITIVE EQUILIBRIUM -- 8. EXAMPLES -- REFERENCES.