Binding: Paperback
Description: 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 Ph D 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.
Title: Financial Asset Pricing Theory
Author(s): Munk Claus (Professor Of Finance Aarhus University)
Publisher: Oxford University Press
Barcode: 9780198716457
Pages: 597 Pages, 21 Figures And 16 Tables
Publication Date: 3/15/2015
Category: Mathematical Modelling