Asset Pricing in Discrete Time
| Autor: | Poon, Ser-Huang Stapleton, Richard C |
|---|---|
| EAN: | 9780199271443 |
| Sachgruppe: | Wirtschaft |
| Sprache: | Englisch |
| Seitenzahl: | 152 |
| Produktart: | Gebunden |
| Veröffentlichungsdatum: | 07.04.2005 |
| Untertitel: | A Complete Markets Approach |
| Schlagworte: | Business / Economics / Finance |
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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 asset pricing 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.
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