Darrell Duffie Dynamic Asset Pricing Theory (Hardback)

Description: Further DetailsTitle: Dynamic Asset Pricing TheoryCondition: NewEAN: 9780691090221ISBN: 9780691090221Publisher: Princeton University PressFormat: HardbackRelease Date: 10/21/2001Item Height: 235mmItem Length: 152mmItem Weight: 822gAuthor: Darrell DuffieLanguage: EnglishSubtitle: Third EditionISBN-10: 069109022XDescription: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text 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 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 the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods.Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.Country/Region of Manufacture: USGenre: Business & FinanceBook Series: Princeton Series in FinanceEdition: Third EditionRelease Year: 2001 Missing Information?Please contact us if any details are missing and where possible we will add the information to our listing.

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