Asset Pricing In Discrete Time: A Complete Markets Approach-..
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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.
| ISBN | 9780199271443 |
| Autor(a) | Poon, Ser-Huang |
| Editora | Oup Oxford |
| Ano de edição | 2005 |
| Páginas | 152 |
| Acabamento | Capa Dura |
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