The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed 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.
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed 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.
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
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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