Dynamic Asset Pricing Theory: First Edition

Duffie, Darrell

ISBN 10: 0691043027 / ISBN 13: 9780691043029

Edité par Princeton University Press (edition First Edition), 1992

With dust jacket. It's a well-cared-for item that has seen limited use. The item may show minor signs of wear. All the text is legible, with all pages included. It may have slight markings and/or highlighting. N° de réf. du vendeur 0691043027-11-1-29

Synopsis :

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.

Détails bibliographiques

Titre : Dynamic Asset Pricing Theory: First Edition
Éditeur : Princeton University Press (edition First Edition)
Date d'édition : 1992
Reliure : Hardcover
Etat : Very Good
Etat de la jaquette : Jaquette
Edition : First Edition.