Dynamic Asset Pricing Theory

Duffie, Darrell.

ISBN 10: 0691021252 / ISBN 13: 9780691021256

Editore: Princeton University Press, Princeton, N.J, 1996

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. . . . 2nd edition. 8vo, hardcover. Vg+ condition in vg dj. Contents bright, crisp & clean; dj glossy w/ a few shallow bends along top & bottom edge from storage. xvii, 395 p. Codice articolo 1150403.26

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Titolo: Dynamic Asset Pricing Theory

Casa editrice: Princeton University Press, Princeton, N.J

Data di pubblicazione: 1996

Legatura: Hardcover

Condizione: Very Good

Condizione sovraccoperta: sovraccoperta

Edizione: seconda edizione

Descrizione articolo

Riassunto:

"Dynamic Asset Pricing Theory" is a textbook 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 optimaltiy, 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. For simplicity, all continuous-time models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options. Numerical methods covered include Monte Carlo simulation and finite-difference solvers for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. This second edition is substantially longer, while still retaining the consciseness for which the first edition was praised. All chapters from the first edition have been revised. Two new chapters have been added on term structure modeling and on derivative securities. References have been updated throughout. With this new edition, "Dynamic Asset Pricing Theory" remains the definitive textbook in the field.

Recensione:

"This is an important addition to the set of text/reference books on asset pricing theory. It will, if it has not already, become the standard text for the second Ph.D. course in security markets. Its treatment of contigent claim valuation, in particular, is unrivaled in its breadth and coherence."--Journal of Economic Literature