0
Your cart

Your cart is empty

Books > Business & Economics > Economics > Econometrics

Buy Now

Financial Asset Pricing Theory (Hardcover) Loot Price: R4,828
Discovery Miles 48 280
Financial Asset Pricing Theory (Hardcover): Claus Munk

Financial Asset Pricing Theory (Hardcover)

Claus Munk

 (sign in to rate)
Loot Price R4,828 Discovery Miles 48 280 | Repayment Terms: R452 pm x 12*

Bookmark and Share

Expected to ship within 10 - 15 working days

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.

General

Imprint: Oxford UniversityPress
Country of origin: United Kingdom
Release date: April 2013
Authors: Claus Munk
Dimensions: 240 x 163 x 38mm (L x W x T)
Format: Hardcover
Pages: 598
ISBN-13: 978-0-19-958549-6
Categories: Books > Business & Economics > Economics > Macroeconomics > General
Books > Business & Economics > Economics > Econometrics > General
Books > Business & Economics > Finance & accounting > Finance > General
Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling
Books > Money & Finance > General
Promotions
LSN: 0-19-958549-0
Barcode: 9780199585496

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

You might also like..

The South African Informal Sector…
Frederick Fourie Paperback R290 R268 Discovery Miles 2 680
Essential Mathematics for Economics and…
T. Bradley Paperback R1,685 Discovery Miles 16 850
Basic mathematics for economics students…
Derek Yu Paperback R357 Discovery Miles 3 570
Introductory Econometrics - A Modern…
Jeffrey Wooldridge Hardcover R1,314 R1,229 Discovery Miles 12 290
Operations and Supply Chain Management
James Evans, David Collier Hardcover R1,343 R1,254 Discovery Miles 12 540
On the Cusp - From Population Boom to…
Charles S. Pearson Hardcover R1,202 Discovery Miles 12 020
Matching, Regression Discontinuity…
Myoung-Jae Lee Hardcover R3,826 Discovery Miles 38 260
Operations And Supply Chain Management
David Collier, James Evans Hardcover R1,366 R1,273 Discovery Miles 12 730
Design and Analysis of Time Series…
Richard McCleary, David McDowall, … Hardcover R3,355 Discovery Miles 33 550
Introduction to Computational Economics…
Hans Fehr, Fabian Kindermann Hardcover R4,347 Discovery Miles 43 470
Scale-Free Networks - Complex Webs in…
Guido Caldarelli Hardcover R4,027 Discovery Miles 40 270
A History of Econometrics - The…
Duo Qin Hardcover R4,660 Discovery Miles 46 600

See more

Partners