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.
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.
Claus Munk holds a PhD in Economics (1997) and an MSc in Mathematics-Economics (1993) from the University of Southern Denmark. After holding positions at the University of Southern Denmark and Aarhus University, he joined the Copenhagen Business School in 2012 as a Professor of finance. His primary research areas are asset allocation, general asset pricing theory, financial derivatives, household finance, executive compensation, and the application of numerical methods in finance. His research has been published in highly ranked journals such as Journal of Financial Economics, Management Science, Journal of Accounting Research, Journal of Banking and Finance, and Journal of Economic Dynamics and Control. He is the author of the books Fixed Income Modelling and Financial Asset Pricing Theory, both published by Oxford University Press.
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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