Every day, the financial markets bravely price trillions of dollars in such risky securities as stocks, bonds, options, futures, and derivatives. The systematic determination of their values--asset pricing--has developed dramatically in the last few years due to advances in financial theory and econometrics. In one of the most highly anticipated books in financial economics, John Cochrane unifies and brings this science up to date for the benefit of advanced students and professionals.
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A truly beautiful book; Cochrane's clever intuition helps us read behind the mathematics and understand the basic underlying (macro)economic principles. Reading this book made me I understand the underlying concepts better.
I've heard complaints that this book is not "rigourous enough." If you're looking for exact derivations, Cochrane credits the original papers at every step.
A note on the level of treatment: It is best read after going through the classics, say, Ingersoll, or, Huang and Litzenberger. Reading this book without a background may make the material seem obscure or difficult.