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Financial Asset Pricing Theory (Hardcover)
Loot Price: R4,828
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Financial Asset Pricing Theory (Hardcover)
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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 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.
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