商品描述
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.
商品描述(中文翻譯)
《金融資產定價理論》提供了經典與當前理論資產定價研究的全面概述。資產定價圍繞著狀態價格折現因子的概念展開，該因子將任何資產的價格與其未來（風險）股息相關聯，並因此納入了資產評價中時間和風險的調整。任何效用最大化投資者在時間上轉移消費的意願定義了一個狀態價格折現因子，該因子提供了最佳消費與資產價格之間的聯繫，進而導致基於消費的資本資產定價模型（CCAPM）。CCAPM的簡單版本無法解釋各種風格化的資產定價事實，但這些資產定價的「難題」可以通過一些最近的擴展來解決，這些擴展涉及習慣形成、遞歸效用、多種消費品以及長期消費風險。其他評價技術和建模方法（如因子模型、期限結構模型、風險中性評價和選擇權定價模型）也被解釋並與狀態價格折現因子相關聯。
本書將作為博士或定量碩士課程中高級理論金融經濟學的教科書，也將是研究人員和金融專業人士的有用參考書。書中的呈現平衡了正式的數學建模與經濟直覺和理解。書中涵蓋了離散時間和連續時間模型。關於隨機過程的必要概念和技術在單獨的章節中進行了仔細解釋，因此只需有限的先前接觸動態金融模型的經驗。
作者簡介
Claus Munk,
Professor of Finance, Copenhagen Business School 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.
作者簡介(中文翻譯)
克勞斯·蒙克，哥本哈根商學院金融學教授
克勞斯·蒙克擁有南丹麥大學的經濟學博士學位（1997年）和數學經濟學碩士學位（1993年）。在南丹麥大學和奧胡斯大學任職後，他於2012年加入哥本哈根商學院，擔任金融學教授。他的主要研究領域包括資產配置、一般資產定價理論、金融衍生品、家庭財務、高管薪酬以及數值方法在金融中的應用。他的研究成果發表在多個高排名的期刊上，如金融經濟學期刊、管理科學、會計研究期刊、銀行與金融期刊以及經濟動態與控制期刊。他是《固定收益建模》和《金融資產定價理論》兩本書的作者，均由牛津大學出版社出版。
