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Description du livre HRD. Etat : New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L1-9780199271443
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Description du livre HRD. Etat : New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L1-9780199271443
Description du livre Hardcover. Etat : new. Hardcover. Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance.-- Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset PricingModel.-- Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricingkernel.-- Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price.-- Extends the analysis to contingent claims on assets withnon-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist.-- Expands the treatment of asset pricing to a multi-periodeconomy, deriving prices in a rational expectations equilibrium.-- Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives.-- Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model. Covering the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework, this book is aimed at Masters and PhD students in finance. The topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes, and multi-period asset pricing under rational expectations. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. N° de réf. du vendeur 9780199271443
Description du livre Etat : New. N° de réf. du vendeur ABLIING23Feb2215580050882
Description du livre Etat : New. Book is in NEW condition. N° de réf. du vendeur 0199271445-2-1
Description du livre Etat : New. New! This book is in the same immaculate condition as when it was published. N° de réf. du vendeur 353-0199271445-new
Description du livre Hardcover. Etat : new. Hardcover. Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance.-- Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset PricingModel.-- Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricingkernel.-- Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price.-- Extends the analysis to contingent claims on assets withnon-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist.-- Expands the treatment of asset pricing to a multi-periodeconomy, deriving prices in a rational expectations equilibrium.-- Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives.-- Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model. Covering the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework, this book is aimed at Masters and PhD students in finance. The topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes, and multi-period asset pricing under rational expectations. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. N° de réf. du vendeur 9780199271443