Overview

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.

Full Product Details

Author:   Claus Munk (Professor of Finance, Aarhus University)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 16.30cm , Height: 3.80cm , Length: 24.00cm
Weight:   1.054kg
ISBN:  

9780199585496

ISBN 10:   0199585490
Pages:   598
Publication Date:   18 April 2013
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   To order  
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

Table of Contents

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

Reviews

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 empirical literature. 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 Munks 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

Author Information

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.

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