Richard Stapleton,
Ser-Huang Poon,
Ser-Huang Poon,
Richard Stapleton
e.a.
Asset Pricing in Discrete Time
A Complete Markets Approach
Gebonden Engels 2005 9780199271443Levertijd ongeveer 11 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9780199271443
Taal:Engels
Bindwijze:Gebonden
Aantal pagina's:152
Uitgever:OUP OXFORD
Hoofdrubriek:Economie, Diversen, Financieel management, Inkoop en logistiek
Serie:Oxford Finance Series
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