Leseprobe
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Dynamic Asset Pricing Theory
Darrell Duffie
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Sozialwissenschaften, Recht, Wirtschaft / Wirtschaft
Beschreibung
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models.
Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Kundenbewertungen
Margin (finance), Forward contract, Mathematical finance, Binomial Option Pricing Model, Credit spread (options), Income Risk, Real versus nominal value (economics), Stochastic differential equation, Terminal value (finance), Risk premium, Bond (finance), Real options valuation, Supply (economics), Interest rate, Consumption-based capital asset pricing model, Credit derivative, Investment policy, Economics, Futures exchange, Asset, Marginal rate of substitution, Discrete time and continuous time, Pricing, Market value, Probability, Option Pricing Theory, Swap (finance), Market portfolio, Stock valuation, Trading strategy, Investment, Arbitrage, Arbitrage pricing theory, Option value (cost–benefit analysis), Derivative (finance), Forward price, Interest rate swap, Portfolio optimization, Interest rate derivative, Market Value Of Equity, Market liquidity, Preference (economics), Put option, Capital asset pricing model, Mathematical optimization, Strike price, Leverage (finance), Monetary Theory, Bond valuation, Investment strategy, State prices, Value (economics), Credit risk, Option (finance), General equilibrium theory, Dynamic programming, Fundamental theorems of welfare economics, Yield curve, Dividend policy, Economic equilibrium, Dividend, Discount function, Payment, Transaction cost, Expectations hypothesis, Interest-Rate Derivative, Mark-to-market accounting, LIBOR market model, Valuation (finance), Futures contract