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eBay-Artikelnr.:386990328978
Artikelmerkmale
- Artikelzustand
- Book Title
- Asset Pricing In Discrete Time : A Complete Markets Approach
- ISBN
- 9780199271443
- Subject Area
- Business & Economics
- Publication Name
- Asset Pricing in Discrete Time : a Complete Markets Approach
- Publisher
- Oxford University Press, Incorporated
- Item Length
- 8.5 in
- Subject
- Marketing / General, Personal Finance / General
- Publication Year
- 2005
- Series
- Oxford Finance Ser.
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Item Height
- 0.6 in
- Item Weight
- 10.9 Oz
- Item Width
- 5.4 in
- Number of Pages
- 160 Pages
Über dieses Produkt
Product Identifiers
Publisher
Oxford University Press, Incorporated
ISBN-10
0199271445
ISBN-13
9780199271443
eBay Product ID (ePID)
30883041
Product Key Features
Number of Pages
160 Pages
Publication Name
Asset Pricing in Discrete Time : a Complete Markets Approach
Language
English
Subject
Marketing / General, Personal Finance / General
Publication Year
2005
Type
Textbook
Subject Area
Business & Economics
Series
Oxford Finance Ser.
Format
Hardcover
Dimensions
Item Height
0.6 in
Item Weight
10.9 Oz
Item Length
8.5 in
Item Width
5.4 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2005-297655
Dewey Edition
22
Illustrated
Yes
Dewey Decimal
332.6
Table Of Content
1. Asset Prices in a Single-Period Model2. Risk Aversion, Background Risk and the Pricing Kernel3. Option Pricing in a Single-Period Model4. Valuation of Contingent Claims: Extensions5. Multi-period Asset Pricing6. Forward and Futures Prices of Contingent Claims7. Bond Pricing, Interest-Rate Processes and the LIBOR Market ModelConclusionsIndex
Synopsis
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., 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 Pricing Model.-- 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 pricing kernel.-- 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 with non-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-period economy, 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.
LC Classification Number
HG4636
Artikelbeschreibung des Verkäufers
Angemeldet als gewerblicher Verkäufer
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- e***d (185)- Bewertung vom Käufer.Letzter MonatBestätigter KaufWhen I bought this it didn't show any tracking. I had to message for tracking. Then when they did. All they showed was one place and didn't show anymore. Plus item was late.
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