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Synopsis
The description for this book, Dynamic Asset Pricing Theory, will be forthcoming.
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Review
"This is an important addition to the set of text/reference books on asset pricing theory. It will, if it has not already, become the standard text for the second Ph.D. course in security markets. Its treatment of contigent claim valuation, in particular, is unrivaled in its breadth and coherence."--Journal of Economic Literature
Synopsis
This is a textbook for postgraduate students and researchers on the theory of asset pricing and portfolio selection in multi-period settings under uncertainty. The asset pricing results are based on 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 that the similarities between discrete and continuous-time models are based on Brownian motion. Examples include the Black-Scholes option pricing model, Lucas' single-agent Markov asset pricing model, Merton's problem of optimal portfolio and consumption choice in a continuous-time setting, the Harrison-Kreps theory of equivalent martingale measures, Breeden's consumption-based capital asset pricing model, and the term structure model of Cox, Ingersoll and Ross. Numerical solution techniques include "binomial" methods, Monte Carlo simulation and finite-difference methods for solving partial differential equations.
Each chapter provides extensive problem exercises and notes to the literature."About this title" may belong to another edition of this title.
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Dynamic Asset Pricing Theory: First Edition
Published by
Princeton University Press, 1992
ISBN 10: 0691043027
ISBN 13: 9780691043029
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Dynamic Asset Pricing Theory: First Edition
Published by
Princeton University Press, 1992
ISBN 10: 0691043027
ISBN 13: 9780691043029
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Dynamic Asset Pricing Theory
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Princeton University Press, Princeton, New Jersey, 1992
ISBN 10: 0691043027
ISBN 13: 9780691043029
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Dynamic Asset Pricing Theory: First Edition
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Princeton University Press, 1992
ISBN 10: 0691043027
ISBN 13: 9780691043029
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Dynamic Asset Pricing Theory
Published by
Princeton University Press, Princeton, NJ, 1992
ISBN 10: 0691043027
ISBN 13: 9780691043029
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First Edition
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Hardcover. Condition: Near Fine. Dust Jacket Condition: Near Fine. First Edition; First Printing. First Edition (1992) First Printing indicated by a complete numerical sequence. Near Fine in a Very Near Fine DJ: The book shows only mild shelf-rubbing to the lower exremities with very light crimp to the heel of the backstrip; else flawless; the binding is square and secure; the text is clean. Free of creased or dog-eared pages in the text. Free of underlining hi-lighting notations or marginalia. Free of any ownership names dates addresses notations inscriptions stamps plates or labels. A handsome nearly-new copy structurally sound and tightly bound showing mild wear only. Bright and Clean. Corners sharp. Very close to 'As New'. The DJ shows only the mildest rubbing to the panels; else flawless; unclipped; mylar-protected. Attractive and intact. Very close to 'As New'. NOT a Remainder Book-Club or Ex-Library. 8vo (9.5 x 6.5 x 1 inches) . Language: English. Weight: 24 ounces. Hardcover with DJ; Large 8vo 9" - 10" tall; xvi, 299 pages. Seller Inventory # 58597
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Dynamic Asset Pricing Theory: First Edition
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ISBN 10: 0691043027
ISBN 13: 9780691043029
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Dynamic Asset Pricing Theory: First Edition
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ISBN 10: 0691043027
ISBN 13: 9780691043029
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Dynamic Asset Pricing Theory: First Edition
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Princeton University Press, 1992
ISBN 10: 0691043027
ISBN 13: 9780691043029
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