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Financial Asset Pricing Theory by Claus Munk (2015, Trade Paperback)

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About this product

Product Identifiers

PublisherOxford University Press, Incorporated

ISBN-100198716451

ISBN-139780198716457

eBay Product ID (ePID)202771506

Product Key Features

Number of Pages597 Pages

LanguageEnglish

Publication NameFinancial Asset Pricing Theory

Publication Year2015

SubjectEconomics / General

TypeTextbook

Subject AreaBusiness & Economics

AuthorClaus Munk

FormatTrade Paperback

Dimensions

Item Height1.2 in

Item Weight31.7 Oz

Item Length6.1 in

Item Width9.2 in

Additional Product Features

Intended AudienceScholarly & Professional

ReviewsMunk takes a completely fresh and well organized approach to communicating the key concepts and techniques of modern asset pricing theory. His treatment is clear, accessible, rigorously unified around the notion of state pricing, and encompasses the latest model specifications. He has set the new standard for doctoral-level courses on this subject., 'This monograph provides a consistent and comprehensive presentation of the classical asset pricing paradigm, from the basics of the theory to the latest developments in the field. The reader's task is simplified by the consistent notation and the integrated conceptual framework that is employed; his technical facility improved by the extensive proofs of the main results that are offered; and his curiosity piqued by the extensive references to the empiricalliterature. The expert will find it a convenient reference and the student will find it an invaluable guide. 'Michael J. Brennan, Professor of Finance at Anderson School, University of California Los Angeles, at Manchester Business School, and at King Abdulaziz University, Jeddah'Munk takes a completely fresh and well organized approach to communicating the key concepts and techniques of modern asset pricing theory. His treatment is clear, accessible, rigorously unified around the notion of state pricing, and encompasses the latest model specifications. He has set the new standard for doctoral-level courses on this subject. 'Darrell Duffie, Dean Witter Distinguished Professor of Finance, at the Graduate School of Business, Stanford University'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 Munk's textbook is my top choice as a comprehensive and intuitive textbook for an introductory or advanced PhD course on asset pricing theory. 'George M. Constantinides, Leo Melamed Professor of Finance, The University of Chicago, Booth School of Business

Dewey Edition23

IllustratedYes

Dewey Decimal332.041

Table Of ContentPreface1. Introduction and Overview2. Uncertainty, Information, and Stochastic Processes3. Portfolios, Arbitrage, and Market Completeness4. State Prices5. Preferences6. Individual Optimality7. Market Equilibrium8. Basic Consumption-Based Asset Pricing9. Advanced Consumption-Based Asset Pricing10. Factor Models11. The Economics of the Term Structure of Interest Rates12. Risk-Adjusted Probabilities13. DerivativesAppendix A. A Review of Basic Probability ConceptsAppendix B. Results on the Lognormal DistributionAppendix C. Results from Linear Algebra

SynopsisThe book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analysed 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., 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.

LC Classification NumberHG4636