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Item Details
Title: DYNAMIC ASSET PRICING THEORY
THIRD EDITION
By: Darrell Duffie
Format: Hardback

List price: £70.00
Our price: £56.00
Discount:
20% off
You save: £14.00
ISBN 10: 069109022X
ISBN 13: 9780691090221
Availability: Usually dispatched within 3-5 days.
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Stock: Currently 2 available
Publisher: PRINCETON UNIVERSITY PRESS
Pub. date: 1 October, 2001
Edition: Third
Series: Princeton Series in Finance
Pages: 488
Description: Suitable for doctoral students and researchers, this book talks about the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium.
Synopsis: 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.
Illustrations: 2 tables, 12 line illus.
Publication: US
Imprint: Princeton University Press
Returns: Returnable
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DARK MARKETS
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DYNAMIC ASSET PRICING THEORY
DYNAMIC ASSET PRICING THEORY (PB)
FRAGMENTING MARKETS
HOW BIG BANKS FAIL AND WHAT TO DO ABOUT IT
HOW BIG BANKS FAIL AND WHAT TO DO ABOUT IT (HB)
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES
MATHEMATICAL FINANCE (HB)
MATHEMATICAL FINANCE (PB)
MEASURING CORPORATE DEFAULT RISK (HB)
MULTIPERIOD SECURITIES MARKETS WITH DIFF (PB)
MULTIPERIOD SECURITIES MARKETS WITH DIFFERENTIAL INFORMATION
MULTIPERIOD SECURITIES MARKETS WITH DIFFERENTIAL INFORMATION
MULTIPERIOD SECURITIES MARKETS WITH DIFFERENTIAL INFORMATION (HB)
MULTIPERIOD SECURITIES MARKETS, WITH DIFFERENTIAL INFORMATION
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