Advanced Finance Theories

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.

Readership: Graduates, doctoral students, researchers, academic and professionals in theoretical financial modeling in mainstream finance or derivative securities.

Table of Contents

Chapter 1 Utility Theory
Chapter 2 Pricing Kernel And Stochastic Discount Factor
Chapter 3 Risk Measures
Chapter 4 Consumption And Portfolio Selection
Chapter 5 Optimum Demand And Mutual Fund Theorem
Chapter 6 Mean–Variance Frontier
Chapter 7 Solving Black–Scholes With Fourier Transform
Chapter 8 Capital Structure Theory
Chapter 9 General Equilibrium
Chapter 10 Discontinuity In Continuous Time
Chapter 11 Spanning And Capital Market Theories