Avancerad sökning
Din kundvagn är tom
Ändra i din kundvagn Gå till kassan
Financial Asset Pricing Theory
  • Bandtyp: Häftad
  • Språk: Engelska
  • Utgiven: 201501
  • Antal sidor: 597
  • Vikt i gram: 900
  • ISBN10:0198716451
  • ISBN13:9780198716457

Financial Asset Pricing Theory

(Häftad)
Beskrivning:

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-pricedeflator 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 extensionsinvolving 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 aseparate chapter so that only limited previous exposure to dynamic finance models is required.

Kundrecensioner och bloggar

Sök fler böcker:

Kunder som köpt denna bok har
även köpt:
Lägg i kundvagn Pris199 kr
Ibland mår jag inte så bra
av Lindgren, Therése
Lägg i kundvagn Pris170 kr
Uppgång och fall
av Strömquist, Liv
Lägg i kundvagn Pris199 kr
Miniatyrmakaren
av Burton, Jessie
Pris54 kr
Min mors självbiografi
av Kincaid, Jamaica
Lägg i kundvagn Pris208 kr