Dynamic Asset Pricing Theory: First Edition

Duffie, Darrell

ISBN 10: 0691043027 / ISBN 13: 9780691043029

Editore: Princeton University Press, 1992

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The book is in good condition with all pages and cover intact, including the dust jacket if originally issued. The spine may show light wear. Pages may contain some notes or highlighting, and there might be a "From the library of" label. Boxed set packaging, shrink wrap, or included media like CDs may be missing. Codice articolo BSM.FBB7

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Titolo: Dynamic Asset Pricing Theory: First Edition

Casa editrice: Princeton University Press

Data di pubblicazione: 1992

Legatura: Rilegato

Condizione: good

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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