For PhD finance courses in business schools, there is equal emphasis placed on mathematical rigour as well as economic reasoning. Advanced Finance Theories provides modern treatments to five key areas of finance theories in Merton's collection of continuous time work, viz. portfolio selection and capital market theory, optimum consumption and intertemporal portfolio selection, option pricing theory, contingent claim analysis of corporate finance, intertemporal CAPM, and complete market general equilibrium. Where appropriate, lectures notes are supplemented by other classical text such as Ingersoll (1987) and materials on stochastic calculus.
Contents:
Utility Theory
Pricing Kernel and Stochastic Discount Factor
Risk Measures
Consumption and Portfolio Selection
Optimum Demand and Mutual Fund Theorem
Mean–Variance Frontier
Solving Black–Scholes with Fourier Transform
Capital Structure Theory
General Equilibrium
Discontinuity in Continuous Time
Spanning and Capital Market Theories
Readership: Graduates, doctoral students, researchers, academic and professionals in theoretical financial modeling in mainstream finance or derivative securities. Key Features:
Complete and explicit exposition of classical finance theories core to theoretical finance research
Modern treatments to some derivations
Supplementary coverage on key related publications and more recent finance research questions
Detailed proofs and explicit coverage to aid understanding by first year PhD students