0
Your cart

Your cart is empty

Books > Business & Economics > Economics > Econometrics

Buy Now

Financial Asset Pricing Theory (Hardcover) Loot Price: R5,078
Discovery Miles 50 780
Financial Asset Pricing Theory (Hardcover): Claus Munk

Financial Asset Pricing Theory (Hardcover)

Claus Munk

 (sign in to rate)
Loot Price R5,078 Discovery Miles 50 780 | Repayment Terms: R476 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 R116 R108 Discovery Miles 1 080
Basic mathematics for economics students…
Derek Yu Paperback R383 Discovery Miles 3 830
Essential Mathematics for Economics and…
T. Bradley Paperback R1,786 Discovery Miles 17 860
Introductory Econometrics - A Modern…
Jeffrey Wooldridge Hardcover R1,396 R1,300 Discovery Miles 13 000
Operations and Supply Chain Management
James Evans, David Collier Hardcover R1,427 R1,327 Discovery Miles 13 270
On the Cusp - From Population Boom to…
Charles S. Pearson Hardcover R1,272 Discovery Miles 12 720
Matching, Regression Discontinuity…
Myoung-Jae Lee Hardcover R4,060 Discovery Miles 40 600
Design and Analysis of Time Series…
Richard McCleary, David McDowall, … Hardcover R3,559 Discovery Miles 35 590
Operations And Supply Chain Management
David Collier, James Evans Hardcover R1,451 R1,347 Discovery Miles 13 470
Introduction to Computational Economics…
Hans Fehr, Fabian Kindermann Hardcover R4,613 Discovery Miles 46 130
Scale-Free Networks - Complex Webs in…
Guido Caldarelli Hardcover R4,274 Discovery Miles 42 740
A History of Econometrics - The…
Duo Qin Hardcover R4,946 Discovery Miles 49 460

See more

Partners