Download the fantastic book titled Dynamic Asset Pricing Theory written by Darrell Duffie, available in its entirety in both PDF and EPUB formats for online reading. This page includes a concise summary, a preview of the book cover, and detailed information about "Dynamic Asset Pricing Theory", which was released on 27 January 2010. We suggest perusing the summary before initiating your download. This book is a top selection for enthusiasts of the Business & Economics genre.
Summary of Dynamic Asset Pricing Theory by Darrell Duffie PDF
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.
Detail About Dynamic Asset Pricing Theory PDF
- Author : Darrell Duffie
- Publisher : Princeton University Press
- Genre : Business & Economics
- Total Pages : 488 pages
- ISBN : 1400829208
- Release Date : 27 January 2010
- PDF File Size : 19,5 Mb
- Language : English
- Rating : 4/5 from 21 reviews
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