Dynamic Asset Pricing Theory, Third Edition. pdf epub mobi txt 电子书下载 2024

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Darrell Duffie

Princeton University Press

2001-11-1

472

USD 115.00

Hardcover

9780691090221

图书标签: 金融 Finance 资产定价经济学金融工程金融学-金融数学 Economics 金融学

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发表于2024-12-22

Dynamic Asset Pricing Theory, Third Edition. epub 下载 mobi 下载 pdf 下载 txt 电子书下载 2024

Dynamic Asset Pricing Theory, Third Edition. pdf epub mobi txt 电子书下载 2024

图书描述

This is a thoroughly updated edition of "Dynamic Asset Pricing Theory", the standard text 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 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 the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps - for example, those associated with Poisson arrivals - in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, "Dynamic Asset Pricing Theory" remains at the head of the field.

Dynamic Asset Pricing Theory, Third Edition. 下载 mobi epub pdf txt 电子书