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Financial Asset Pricing Theory, by Claus Munk
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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.
- Sales Rank: #1457882 in Books
- Published on: 2015-03-15
- Released on: 2015-03-15
- Original language: English
- Number of items: 1
- Dimensions: 6.10" h x 1.30" w x 9.20" l, 2.29 pounds
- Binding: Paperback
- 608 pages
Review
"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
About the Author
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.
Most helpful customer reviews
2 of 2 people found the following review helpful.
This is the most useful asset pricing theory book I own
By Jeremy
This is the most useful asset pricing theory book I own. I've got Duffie, Cochrane, and Pennacchi (as well as some other more empirically oriented books) and I've spent some time with Back's book, but this one so far is my favorite. The notation is very precise and the text is written so that's it's complete and easy to follow. Also, Munk takes a different approach in his exposition of continuous and discrete time. Most books devote the first half of the book to static and discrete time and the last half in continuous time. Munk, instead, tries a different approach. The book is divided up into economic topics and each chapter gives the static, discrete, and then continous-time treatment. I like this approach because it makes it easier to compare the discrete with the continuous time. It also makes sense to divide the book up by economic topic rather than mathematical approach. Also, this book is a theory book, but it does spend some time here and there describing important empirical facts and results.
0 of 0 people found the following review helpful.
Five Stars
By Berg Cui
BEST asset pricing textbook from economics perspective! Strongly recommended.
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