Détail de l'auteur
Auteur Claus MUNK |
Documents disponibles écrits par cet auteur (2)
Ajouter le résultat dans votre panier Faire une suggestion Affiner la recherche
Financial asset pricing theory / Claus MUNK / OXFORD UNIVERSITY PRESS (2015)
Titre : Financial asset pricing theory Type de document : Livre Auteurs : Claus MUNK, Auteur Editeur : OXFORD UNIVERSITY PRESS Année de publication : 2015 Importance : 585 p. ISBN/ISSN/EAN : 978-0-19-871645-7 Prix : 45 EUR Note générale : Bibliogr. p.556-577. Index. Langues : Anglais (eng) Mots-clés : Management
PROCESSUS STOCHASTIQUE ; FINANCE INTERNATIONALERésumé : 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. Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=157879 Exemplaires (1)
Code-barres Cote Support Localisation Section Disponibilité 050327 332/MUN Livre Library Campus de Reims Salle de lecture Disponible Fixed income modelling / Claus MUNK / OXFORD UNIVERSITY PRESS (2011)
Titre : Fixed income modelling Type de document : Livre Auteurs : Claus MUNK, Auteur Editeur : OXFORD UNIVERSITY PRESS Année de publication : 2011 Importance : XVI-556 p. ISBN/ISSN/EAN : 978-0-19-871644-0 Prix : 45 EUR Note générale : Bibliogr. p.535-551. Index. Langues : Anglais (eng) Mots-clés : Management
MARCHE FINANCIER ; RISQUE DE MARCHE ; RISQUE FINANCIERRésumé : A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities. Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=156959 Exemplaires (1)
Code-barres Cote Support Localisation Section Disponibilité 048279 658.155/MUN Livre Library Campus de Reims Salle de lecture Disponible
LIBRARY - Campus Rouen
NEOMA Business School
pmb
-
59 Rue Taittinger, 51100 Reims
-
00 33 (0)3 26 77 46 15
Library Campus Reims
-
1 Rue du Maréchal Juin, BP 215
76825 Mont Saint Aignan cedex -
00 33 (0)2 32 82 58 26