Asset pricing in discrete time
a complete market approach
- ISBN: 9780199271443
- Editorial: Oxford University Press
- Fecha de la edición: 2005
- Lugar de la edición: Oxford. None
- Encuadernación: Cartoné
- Medidas: 19 cm
- Nº Pág.: 140
- Idiomas: Inglés
Papel: Cartoné
50,75 €
Sin Stock. Disponible en 5/6 semanas.
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.
