Financial Asset Pricing Theory by Claus MunkFinancial Asset Pricing Theory by Claus Munk

Financial Asset Pricing Theory

byClaus Munk

Paperback | February 19, 2015

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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.

About The Author

Claus Munk holds a PhD in Economics (1997) and an MSc in Mathematics-Economics (1993) from the University of Southern Denmark. After holding positions at the University of Southern Denmark and Aarhus University, he joined the Copenhagen Business School in 2012 as a Professor of finance. His primary research areas are asset allocation,...
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Title:Financial Asset Pricing TheoryFormat:PaperbackDimensions:597 pagesPublished:February 19, 2015Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198716451

ISBN - 13:9780198716457

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Table of Contents

Preface1. 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

Editorial Reviews

"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 mytop 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