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Indigo

Financial Asset Pricing Theory by Claus Munk, Paperback | Indigo Chapters

From Claus Munk

Current price: $99.99
Financial Asset Pricing Theory by Claus Munk, Paperback | Indigo Chapters
Financial Asset Pricing Theory by Claus Munk, Paperback | Indigo Chapters

Indigo

Financial Asset Pricing Theory by Claus Munk, Paperback | Indigo Chapters

From Claus Munk

Current price: $99.99
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Size: 25.4 x 234 x 900

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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 thusincorporates 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 AssetPricing 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. Othervaluation 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 andeconomic 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. | Financial Asset Pricing Theory by Claus Munk, Paperback | Indigo Chapters

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