Financial Asset Pricing Theory
- Publisher's listprice GBP 59.00
-
26 638 Ft (25 370 Ft + 5% VAT)
The price is estimated because at the time of ordering we do not know what conversion rates will apply to HUF / product currency when the book arrives. In case HUF is weaker, the price increases slightly, in case HUF is stronger, the price goes lower slightly.
- Discount 10% (cc. 2 664 Ft off)
- Discounted price 23 975 Ft (22 833 Ft + 5% VAT)
Subcribe now and take benefit of a favourable price.
Subscribe
26 638 Ft
Availability
printed on demand
Why don't you give exact delivery time?
Delivery time is estimated on our previous experiences. We give estimations only, because we order from outside Hungary, and the delivery time mainly depends on how quickly the publisher supplies the book. Faster or slower deliveries both happen, but we do our best to supply as quickly as possible.
Product details:
- Publisher OUP Oxford
- Date of Publication 12 February 2015
- ISBN 9780198716457
- Binding Paperback
- No. of pages597 pages
- Size 156x234x31 mm
- Weight 900 g
- Language English
- Illustrations 21 Figures and 16 Tables 0
Categories
Short description:
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analysed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
MoreLong 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.
This monograph provides a consistent and comprehensive presentation of the classical asset pricing paradigm, from the basics of the theory to the latest developments in the field. The reader's task is simplified by the consistent notation and the integrated conceptual framework that is employed; his technical facility improved by the extensive proofs of the main results that are offered; and his curiosity piqued by the extensive references to the empirical literature. The expert will find it a convenient reference and the student will find it an invaluable guide.
Table of Contents:
Preface
Introduction and Overview
Uncertainty, Information, and Stochastic Processes
Portfolios, Arbitrage, and Market Completeness
State Prices
Preferences
Individual Optimality
Market Equilibrium
Basic Consumption-Based Asset Pricing
Advanced Consumption-Based Asset Pricing
Factor Models
The Economics of the Term Structure of Interest Rates
Risk-Adjusted Probabilities
Derivatives
Appendix A. A Review of Basic Probability Concepts
Appendix B. Results on the Lognormal Distribution
Appendix C. Results from Linear Algebra
