Description: Dynamic Asset Pricing Theory, Hardcover by Duffie, Darrell; Duffie, J. Darrell, ISBN 069109022X, ISBN-13 9780691090221, Like New Used, Free P&P in the UK
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 editions 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.
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Book Title: Dynamic Asset Pricing Theory
Number of Pages: 488 Pages
Publication Name: Dynamic Asset Pricing Theory: Third Edition
Language: English
Publisher: Princeton University Press
Item Height: 235 mm
Subject: Government
Publication Year: 2001
Type: Textbook
Item Weight: 822 g
Author: Darrell Duffie
Item Width: 152 mm
Series: Princeton Series in Finance
Format: Hardcover
