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Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series) - Hardcover
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Synopsis
Covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework
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About the Author
Dick Stapleton, one of the most senior finance academics in Europe, has held senior posts at the Universities of Strathclyde, Lancaster, and Cambridge, and Manchester Business School. He is also a Professorial Fellow at the University of Melbourne, Australia. He has researched in many areas of finance including asset pricing and interest rate derivatives and has published extensively in all top ranking finance and economic journals.
Ser-Huang Poon is known for her work in modelling and forecasting financial market volatility, and more recently the applications of extreme values theories in finance. She has published work on both areas in leading journals in finance and economics.
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Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series)
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Oxford University Press, 2005
ISBN 10: 0199271445
ISBN 13: 9780199271443
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Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series)
Published by
Oxford University Press, 2005
ISBN 10: 0199271445
ISBN 13: 9780199271443
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Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series)
Published by
Oxford University Press, 2005
ISBN 10: 0199271445
ISBN 13: 9780199271443
Used
Hardcover
Seller: Anybook.com, Lincoln, United Kingdom
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Condition: Good. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. In good all round condition. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,350grams, ISBN:0199271445. Seller Inventory # 5772101
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Asset Pricing in Discrete Time (Hardcover)
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Oxford University Press, Oxford, 2005
ISBN 10: 0199271445
ISBN 13: 9780199271443
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Hardcover. Condition: new. Hardcover. Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance.-- Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset PricingModel.-- Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricingkernel.-- Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price.-- Extends the analysis to contingent claims on assets withnon-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist.-- Expands the treatment of asset pricing to a multi-periodeconomy, deriving prices in a rational expectations equilibrium.-- Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives.-- Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model. Covering the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework, this book is aimed at Masters and PhD students in finance. The topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes, and multi-period asset pricing under rational expectations. This item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Seller Inventory # 9780199271443
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Asset Pricing in Discrete Time: A Complete Markets Approach (eng)
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Asset Pricing In Discrete Time : A Complete Markets Approach
Published by
Oxford University Press, 2005
ISBN 10: 0199271445
ISBN 13: 9780199271443
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Asset Pricing in Discrete Time (Hardcover)
Published by
Oxford University Press, Oxford, 2005
ISBN 10: 0199271445
ISBN 13: 9780199271443
New
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Seller: Grand Eagle Retail, Bensenville, IL, U.S.A.
Seller rating 5 out of 5 stars
Hardcover. Condition: new. Hardcover. Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance.-- Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset PricingModel.-- Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricingkernel.-- Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price.-- Extends the analysis to contingent claims on assets withnon-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist.-- Expands the treatment of asset pricing to a multi-periodeconomy, deriving prices in a rational expectations equilibrium.-- Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives.-- Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model. Covering the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework, this book is aimed at Masters and PhD students in finance. The topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes, and multi-period asset pricing under rational expectations. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780199271443