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
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.
`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.
'
Michael J. Brennan, Professor of Finance at Anderson School,
University of California Los Angeles, at Manchester Business
School, and at King Abdulaziz University, Jeddah
`Munk takes a completely fresh and well organized approach to
communicating the key concepts and techniques of modern asset
pricing theory. His treatment is clear, accessible, rigorously
unified around the notion of state pricing, and encompasses the
latest model specifications. He has set the new standard for
doctoral-level courses on this subject.
'
Darrell Duffie, Dean Witter Distinguished Professor of Finance, at
the Graduate School of Business, Stanford University
`Financial Asset Pricing Theory is a rigorous, yet eminently
accessible, textbook at the frontier of modern asset pricing theory
with applications in portfolio management, the term structure of
interest rates, and derivatives, and a nice selection of problem
sets. Claus Munk's textbook is my top choice as a comprehensive and
intuitive textbook for an introductory or advanced PhD course on
asset pricing theory.
'
George M. Constantinides, Leo Melamed Professor of Finance, The
University of Chicago, Booth School of Business
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