{"product_id":"asset-pricing-in-discrete-time-book-ser-huang-poon-9780199271443","title":"Asset Pricing in Discrete Time","description":"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.","brand":"WoB","offers":[{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":50541865795857,"sku":"GOR005740512","price":9.0,"currency_code":"GBP","in_stock":false},{"title":"US \/ NEW \/ INGRAM","offer_id":51089277911313,"sku":"NIN9780199271443","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ NEW \/ INGRAM","offer_id":52482371748113,"sku":"NLS9780199271443","price":70.19,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/0199271445.jpg?v=1750876298","url":"https:\/\/www.worldofbooks.com\/en-gb\/products\/asset-pricing-in-discrete-time-book-ser-huang-poon-9780199271443","provider":"World of Books ","version":"1.0","type":"link"}