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Asset Pricing In Discrete Time : A Complete Markets Approach, Hardcover by Po...
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N.º de artículo de eBay:386990328978
Última actualización el 16 sep 2024 11:04:19 H.EspVer todas las actualizacionesVer todas las actualizaciones
Características del artículo
- Estado
- Book Title
- Asset Pricing In Discrete Time : A Complete Markets Approach
- ISBN
- 9780199271443
- Subject Area
- Business & Economics
- Publication Name
- Asset Pricing in Discrete Time : a Complete Markets Approach
- Publisher
- Oxford University Press, Incorporated
- Item Length
- 8.5 in
- Subject
- Marketing / General, Personal Finance / General
- Publication Year
- 2005
- Series
- Oxford Finance Ser.
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Item Height
- 0.6 in
- Item Weight
- 10.9 Oz
- Item Width
- 5.4 in
- Number of Pages
- 160 Pages
Acerca de este producto
Product Identifiers
Publisher
Oxford University Press, Incorporated
ISBN-10
0199271445
ISBN-13
9780199271443
eBay Product ID (ePID)
30883041
Product Key Features
Number of Pages
160 Pages
Publication Name
Asset Pricing in Discrete Time : a Complete Markets Approach
Language
English
Subject
Marketing / General, Personal Finance / General
Publication Year
2005
Type
Textbook
Subject Area
Business & Economics
Series
Oxford Finance Ser.
Format
Hardcover
Dimensions
Item Height
0.6 in
Item Weight
10.9 Oz
Item Length
8.5 in
Item Width
5.4 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2005-297655
Dewey Edition
22
Illustrated
Yes
Dewey Decimal
332.6
Table Of Content
1. Asset Prices in a Single-Period Model2. Risk Aversion, Background Risk and the Pricing Kernel3. Option Pricing in a Single-Period Model4. Valuation of Contingent Claims: Extensions5. Multi-period Asset Pricing6. Forward and Futures Prices of Contingent Claims7. Bond Pricing, Interest-Rate Processes and the LIBOR Market ModelConclusionsIndex
Synopsis
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., 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.
LC Classification Number
HG4636
Descripción del artículo del vendedor
Información de vendedor profesional
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- i***y (712)- Votos emitidos por el comprador.Últimos 6 mesesCompra verificada2 volumes of Pogo comic strips, new and in perfect condition. Price was good, but shipping cost ($30 for two books) seems like a lot for how long it took to get delivered (23 days from Illinois to Spain). Also, seller communication was not great. First two times I wrote, their response did not address question. Third response explained at length about the private courier service they use and how it should take 1-10 business days to deliver. Maybe they should consider a different courier service.
- o***l (313)- Votos emitidos por el comprador.Último añoCompra verificadaThe item was described to a Tee. Very good communication. Shipping was just a little slow. The box the set of books comes in was damaged (bent corners) due to packaging. Not a deal breaker because the grand kids will not store in that box; might be if it were to be given as a present. The three books in the box arrived in prefect shape. I WOULD purchase from greatbookprices1 again in the future. ThanksConstruction Site Board Books Set, Hardcover by Rinker, Sherri Duskey; Lichte... (#364394914625)
- r***_ (108)- Votos emitidos por el comprador.Mes pasadoCompra verificada*Same as the other review* Purchased two box sets from this seller with one being advertised as "like new" but was delivered as if it was actually new. Shipping time was a little slow, takes about 10 days to ship out and it takes a while to get through the system. But the packing was great and I'm still overall happy with my purchase.