Dynamic Asset Pricing Theory by Darrell Duffie

Dynamic Asset Pricing Theory by Darrell Duffie

"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.

"This is an important addition to the set of text/reference books on asset pricing theoryIt will, if it has not already, become the standard text for the second Ph.D. course in security markets. Its treatment of contigent claim valuation, in particular, is unrivaled in its breadth and coherence." * Journal of Economic Literature *

Darrell Duffie has been writing about financial markets since 1984. He is a Fellow of the American Academy of Arts and Sciences, a Fellow and member of the Council of the Econometric Society, and a Research Associate of the National Bureau of Economic Research. He is a member of the Financial
Advisory Roundtable of the New York Federal Reserve Bank, and a member of the board of directors of Moody's Corporation. Prof. Duffie was the President of the American Finance Association until January, 2010. In 2003, he was awarded the SunGard/IAFE Financial Engineer of the Year Award from the
International Association of Financial Engineers.

SKU	Unavailable
ISBN 13	9780691021256
ISBN 10	0691021252
Title	Dynamic Asset Pricing Theory
Author	Darrell Duffie
Condition	Unavailable
Binding Type	Hardback
Publisher	Princeton University Press
Year published	1996-02-11
Number of pages	328
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable