Financial asset pricing theory
Author(s)
Bibliographic Information
Financial asset pricing theory
Oxford University Press, 2013
Available at 13 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
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  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
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  Gifu
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  Aichi
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  Kyoto
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  Hyogo
  Nara
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  Tottori
  Shimane
  Okayama
  Hiroshima
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  Tokushima
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  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
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  United Kingdom
  Germany
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  France
  Belgium
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  United States of America
Note
Bibliography: p. [556]-577
Includes index
Description and Table of Contents
Description
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.
Table of Contents
- 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
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