Financial Asset Pricing Theory

Zusatztext Financial Asset Pricing Theory is a rigorous, yet eminently accessible, textbook at the frontier of modern asset pricing theory with applications in portfolio management, the term structure of interest rates, and derivatives, and a nice selection of problem sets. Claus Munks textbook is my top choice as a comprehensive and intuitive textbook for an introductory or advanced PhD course on asset pricing theory. Informationen zum Autor Claus Munk holds a PhD in economics (1997) and an MSc in Mathematics-Economics (1993) from the University of Southern Denmark, and has held various academic positions at both the University of Southern Denmark and Aarhus University. His primary research areas are asset allocation, general asset pricing theory, financial derivatives, and the application of numerical methods in finance. His research has been published in journals such as Journal of Financial Economics, Management Science, Journal of Economic Theory, Journal of Banking and Finance, European Finance Review, and Journal of Economic Dynamics and Control. He is also the author of the book 'Fixed Income Modelling' that was published by Oxford University Press in 2011. Klappentext The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics. Zusammenfassung Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. The willingness of any utility-maximizing investor to shift consumption over time defines a state-price deflator which provides a link between optimal consumption and asset prices that leads to the Consumption-based Capital Asset Pricing Model (CCAPM). A simple version of the CCAPM cannot explain various stylized asset pricing facts, but these asset pricing 'puzzles' can be resolved by a number of recent extensions involving habit formation, recursive utility, multiple consumption goods, and long-run consumption risks. Other valuation techniques and modelling approaches (such as factor models, term structure models, risk-neutral valuation, and option pricing models) are explained and related to state-price deflators. The book will serve as a textbook for an advanced course in theoretical financial economics in a PhD or a quantitative Master of Science program. It will also be a useful reference book for researchers and finance professionals. The presentation in the book balances formal mathematical modelling and economic intuition and understanding. Both discrete-time and continuous-time models are covered. The necessary concepts and techniques concerning stochastic processes are carefully explained in a separate chapter so that only limited previous exposure to dynamic finance models is required. Inhaltsverzeichnis Preface 1: Introduction and Overview 2: Uncertainty, Information, and Stochastic Processes 3: Portfolios, Arbitrage, and Market Completeness 4: State Prices 5: Preferences 6: Individual Optimality 7: Market Equilibrium 8: Basic Consumption-Based Asset Pricing 9: Advanced Consumption-Based Asset Pricing 10: Factor Models 11: The Economics of the Term Structure of Interest Rates 12: Risk-Adjusted Probabilities 13: Derivatives Appendix A. A Review of Basic Probability Concepts Appendix B. Results on the Lognormal Distribution Appendix C. Results from Linear Algebra ...

Product details

• Authors: Munk, Claus Munk, Claus (Professor of Finance Munk, Munk Claus
• Publisher: Oxford University Press
• Languages: English
• Product format: Hardback
• Released: 31.03.2013
• EAN: 9780199585496
• ISBN: 978-0-19-958549-6
• No. of pages: 598
• Subject: Social sciences, law, business > Business > Business administration