Dynamic Asset Pricing Theory

Duffie, Darrell:

ISBN 10: 0691043027 / ISBN 13: 9780691043029

Editore: Princeton University Press 01.04.1992., 1992

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316 Seiten ex Library Book / aus einer wissenschafltichen Bibliothek / Sprache: Englisch Gewicht in Gramm: 969 23,1 x 16,3 x 3,3 cm, Gebundene Ausgabe. Codice articolo 380182

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Titolo: Dynamic Asset Pricing Theory

Casa editrice: Princeton University Press 01.04.1992.

Data di pubblicazione: 1992

Legatura: Rilegato

Condizione: Gut

Edizione: Auflage: 1st Edition.

Descrizione articolo

Riassunto:

This is a textbook for postgraduate students and researchers on the theory of asset pricing and portfolio selection in multi-period settings under uncertainty. The asset pricing results are based on 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 that the similarities between discrete and continuous-time models are based on Brownian motion. Examples include the Black-Scholes option pricing model, Lucas' single-agent Markov asset pricing model, Merton's problem of optimal portfolio and consumption choice in a continuous-time setting, the Harrison-Kreps theory of equivalent martingale measures, Breeden's consumption-based capital asset pricing model, and the term structure model of Cox, Ingersoll and Ross. Numerical solution techniques include "binomial" methods, Monte Carlo simulation and finite-difference methods for solving partial differential equations. Each chapter provides extensive problem exercises and notes to the literature.

Product Description:

Dynamic Asset Pricing Theory