A01=Darrell Duffie
Arbitrage
Arbitrage pricing theory
Asset
Author_Darrell Duffie
Binomial Option Pricing Model
Bond (finance)
Bond valuation
Capital asset pricing model
Category=KFFM
Consumption-based capital asset pricing model
Credit derivative
Credit risk
Credit spread (options)
Derivative (finance)
Discount function
Discrete time and continuous time
Dividend
Dividend policy
Dynamic programming
Economic equilibrium
Economics
eq_bestseller
eq_business-finance-law
eq_deactivated
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Expectations hypothesis
Forward contract
Forward price
Fundamental theorems of welfare economics
Futures contract
Futures exchange
General equilibrium theory
Income Risk
Interest rate
Interest rate swap
Interest-Rate Derivative
Investment
Investment policy
Investment strategy
Leverage (finance)
LIBOR market model
Margin (finance)
Marginal rate of substitution
Mark-to-market accounting
Market liquidity
Market portfolio
Market value
Market Value Of Equity
Mathematical finance
Mathematical optimization
Monetary Theory
Option (finance)
Option Pricing Theory
Option value (cost-benefit analysis)
Payment
Portfolio optimization
Preference (economics)
Pricing
Probability
Put option
Real options valuation
Real versus nominal value (economics)
Risk premium
State prices
Stochastic differential equation
Stock valuation
Strike price
Supply (economics)
Swap (finance)
Terminal value (finance)
Trading strategy
Transaction cost
Valuation (finance)
Value (economics)
Yield curve
Product details
- ISBN 9780691090221
- Weight: 822g
- Dimensions: 152 x 235mm
- Publication Date: 21 Oct 2001
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
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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.
J. Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business. Stanford University. He teaches and does research in the area of asset valuation, risk management, credit risk modeling, and fixed-income and equity markets. His other books include Security Markets, Stochastic Models, and Futures Markets.
