Dynamic Asset Pricing Theory. Second edition

Darrell Duffie

ISBN 10: 0691021252 / ISBN 13: 9780691021256

Published by Princeton University Press, 1996

Missing dust jacket; Readable copy. Pages may have considerable notes/highlighting. ~ ThriftBooks: Read More, Spend Less. Seller Inventory # G0691021252I5N01

Synopsis:

"Dynamic Asset Pricing Theory" is a textbook 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 optimaltiy, 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. For simplicity, all continuous-time models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options. Numerical methods covered include Monte Carlo simulation and finite-difference solvers for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. This second edition is substantially longer, while still retaining the consciseness for which the first edition was praised. All chapters from the first edition have been revised. Two new chapters have been added on term structure modeling and on derivative securities. References have been updated throughout. With this new edition, "Dynamic Asset Pricing Theory" remains the definitive textbook in the field.

About the Author: Darrell Duffie is Professor of Finance at the Graduate School of Business, Stanford University. He is the author of Security Markets and Futures Markets.

Bibliographic Details

Title: Dynamic Asset Pricing Theory. Second edition
Publisher: Princeton University Press
Publication Date: 1996
Binding: Hardcover
Condition: Fair
Dust Jacket Condition: No Jacket
Edition: 2nd Edition