Munk

FINANCIAL ASSET PRICING THEORY C

• Gebundenes Buch

Produktdetails

• Verlag: ACADEMIC
• Seitenzahl: 598
• Erscheinungstermin: 18. April 2013
• Englisch
• Abmessung: 240mm x 161mm x 36mm
• Gewicht: 1054g
• ISBN-13: 9780199585496
• ISBN-10: 0199585490
• Artikelnr.: 47867906

Autorenporträt

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.

Inhaltsangabe

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