Financial asset pricing theory:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford ; New York
Oxford University Press
2013
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke |
| Beschreibung: | VII, 585 Seiten graph. Darst. |
| ISBN: | 9780199585496 9780198716457 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV040502188 | ||
| 003 | DE-604 | ||
| 005 | 20170316 | ||
| 007 | t | ||
| 008 | 121024s2013 d||| |||| 00||| eng d | ||
| 020 | |a 9780199585496 |c hbk. |9 978-0-19-958549-6 | ||
| 020 | |a 9780198716457 |c pbk.: £ 29.99 |9 978-0-19-871645-7 | ||
| 035 | |a (OCoLC)816312244 | ||
| 035 | |a (DE-599)BVBBV040502188 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-473 |a DE-384 |a DE-355 |a DE-739 |a DE-945 |a DE-11 |a DE-188 |a DE-703 |a DE-1047 |a DE-706 | ||
| 082 | 0 | |a 332.041 | |
| 084 | |a QK 622 |0 (DE-625)141669: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 100 | 1 | |a Munk, Claus |d 1969- |e Verfasser |0 (DE-588)171696832 |4 aut | |
| 245 | 1 | 0 | |a Financial asset pricing theory |c Claus Munk |
| 264 | 1 | |a Oxford ; New York |b Oxford University Press |c 2013 | |
| 300 | |a VII, 585 Seiten |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Hier auch später erschienene, unveränderte Nachdrucke | ||
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a CCAPM |0 (DE-588)4201772-5 |2 gnd |9 rswk-swf |
| 655 | 7 | |a Lehrbuch |2 gnd |9 rswk-swf | |
| 689 | 0 | 0 | |a CCAPM |0 (DE-588)4201772-5 |D s |
| 689 | 0 | 1 | |a Kapitalmarkt |0 (DE-588)4029578-3 |D s |
| 689 | 0 | 2 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | 3 | |a Lehrbuch |A f |
| 689 | 0 | |C b |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 856 | 4 | 2 | |m Digitalisierung UB Passau |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |3 Klappentext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-025348934 | ||
Datensatz im Suchindex
| _version_ | 1804149577037643777 |
|---|---|
| adam_text | Contents
List of Figures
χ
List of Tables
xi
1.
Introduction and Overview
1
2.
Uncertainty, Information, and Stochastic Processes
24
3.
Portfolios, Arbitrage, and Market Completeness
70
4.
State Prices
95
5.
Preferences
149
6.
Individual Optimality
192
7.
Market Equilibrium
249
8.
Basic Consumption-Based Asset Pricing
277
9.
Advanced Consumption-Based Asset Pricing
317
10.
Factor Models
371
11.
The Economics of the Term Structure of Interest Rates
419
12.
Risk-Adjusted Probabilities
473
13.
Derivatives
501
Appendix A: A Review of Basic Probability Concepts
542
Appendix B: Results on the
Lognormal
Distribution
549
Appendix C: Results from Linear Algebra
552
Bibliography
556
Index
579
Financial
Asset Pricing Theory offers a
comprehensive overview of classic and
current research in theoretical asset pricing.
Asset pricing is developed around the concept
of a state-price deflator that 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. It 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.
|
| any_adam_object | 1 |
| author | Munk, Claus 1969- |
| author_GND | (DE-588)171696832 |
| author_facet | Munk, Claus 1969- |
| author_role | aut |
| author_sort | Munk, Claus 1969- |
| author_variant | c m cm |
| building | Verbundindex |
| bvnumber | BV040502188 |
| classification_rvk | QK 622 SK 980 |
| ctrlnum | (OCoLC)816312244 (DE-599)BVBBV040502188 |
| dewey-full | 332.041 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.041 |
| dewey-search | 332.041 |
| dewey-sort | 3332.041 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02017nam a2200445 c 4500</leader><controlfield tag="001">BV040502188</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20170316 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">121024s2013 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780199585496</subfield><subfield code="c">hbk.</subfield><subfield code="9">978-0-19-958549-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780198716457</subfield><subfield code="c">pbk.: £ 29.99</subfield><subfield code="9">978-0-19-871645-7</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)816312244</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV040502188</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-1047</subfield><subfield code="a">DE-706</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.041</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 622</subfield><subfield code="0">(DE-625)141669:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Munk, Claus</subfield><subfield code="d">1969-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)171696832</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Financial asset pricing theory</subfield><subfield code="c">Claus Munk</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Oxford ; New York</subfield><subfield code="b">Oxford University Press</subfield><subfield code="c">2013</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">VII, 585 Seiten</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Hier auch später erschienene, unveränderte Nachdrucke</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">CCAPM</subfield><subfield code="0">(DE-588)4201772-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="a">Lehrbuch</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">CCAPM</subfield><subfield code="0">(DE-588)4201772-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Lehrbuch</subfield><subfield code="A">f</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Passau</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Klappentext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-025348934</subfield></datafield></record></collection> |
| genre | Lehrbuch gnd |
| genre_facet | Lehrbuch |
| id | DE-604.BV040502188 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:25:08Z |
| institution | BVB |
| isbn | 9780199585496 9780198716457 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025348934 |
| oclc_num | 816312244 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-384 DE-355 DE-BY-UBR DE-739 DE-945 DE-11 DE-188 DE-703 DE-1047 DE-706 |
| owner_facet | DE-473 DE-BY-UBG DE-384 DE-355 DE-BY-UBR DE-739 DE-945 DE-11 DE-188 DE-703 DE-1047 DE-706 |
| physical | VII, 585 Seiten graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Oxford University Press |
| record_format | marc |
| spelling | Munk, Claus 1969- Verfasser (DE-588)171696832 aut Financial asset pricing theory Claus Munk Oxford ; New York Oxford University Press 2013 VII, 585 Seiten graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf CCAPM (DE-588)4201772-5 gnd rswk-swf Lehrbuch gnd rswk-swf CCAPM (DE-588)4201772-5 s Kapitalmarkt (DE-588)4029578-3 s Mathematisches Modell (DE-588)4114528-8 s Lehrbuch f b DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Munk, Claus 1969- Financial asset pricing theory Kapitalmarkt (DE-588)4029578-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd CCAPM (DE-588)4201772-5 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4114528-8 (DE-588)4201772-5 |
| title | Financial asset pricing theory |
| title_auth | Financial asset pricing theory |
| title_exact_search | Financial asset pricing theory |
| title_full | Financial asset pricing theory Claus Munk |
| title_fullStr | Financial asset pricing theory Claus Munk |
| title_full_unstemmed | Financial asset pricing theory Claus Munk |
| title_short | Financial asset pricing theory |
| title_sort | financial asset pricing theory |
| topic | Kapitalmarkt (DE-588)4029578-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd CCAPM (DE-588)4201772-5 gnd |
| topic_facet | Kapitalmarkt Mathematisches Modell CCAPM Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025348934&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT munkclaus financialassetpricingtheory |