Asset Pricing in Discrete Time A Complete Markets Approach |
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| Author:
| Poon, Ser-Huang
Stapleton, Richard |
| Series title: | Oxford Finance Ser. |
| ISBN: | 978-0-19-153389-1 |
| Publication Date: | Jan 2005 |
| Publisher: | Oxford University Press, Incorporated
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| Book Format: | Ebook |
| List Price: | USD $56.70 |
Book Description:
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This book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It relies heavily on the existence, in a complete market, of a pricing kernel. It is primarily aimed at advanced Masters and PhD students in finance. Topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes and in cases where risk neutral valuation relationship does not exist, multi-period assetpricing under rational...
More DescriptionThis book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It relies heavily on the existence, in a complete market, of a pricing kernel. It is primarily aimed at advanced Masters and PhD students in finance. Topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes and in cases where risk neutral valuation relationship does not exist, multi-period assetpricing under rational expectations, forward and futures contracts on assets and derivatives, and bond pricing under stochastic interest rates. All the proofs, including a discrete time proof of the Libor market model, are shown explicitly.