Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series)

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9780199271443: Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series)
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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.

Biografía del autor:

Dick Stapleton, one of the most senior finance academics in Europe, has held senior posts at the Universities of Strathclyde, Lancaster, and Cambridge, and Manchester Business School. He is also a Professorial Fellow at the University of Melbourne, Australia. He has researched in many areas of finance including asset pricing and interest rate derivatives and has published extensively in all top ranking finance and economic journals.

Ser-Huang Poon is known for her work in modelling and forecasting financial market volatility, and more recently the applications of extreme values theories in finance. She has published work on both areas in leading journals in finance and economics.

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Poon, Ser-Huang
Editorial: OUP Oxford (2016)
ISBN 10: 0199271445 ISBN 13: 9780199271443
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Ser-Huang Poon, Richard C. Stapleton
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Descripción Oxford University Press, United Kingdom, 2005. Hardback. Estado de conservación: New. 218 x 140 mm. Language: English . Brand New Book ***** Print on Demand *****.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. Nº de ref. de la librería APC9780199271443

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Richard Stapleton, Ser-Huang Poon
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Descripción Oxford University Press, United Kingdom, 2005. Hardback. Estado de conservación: New. 218 x 140 mm. Language: English . Brand New Book ***** Print on Demand *****. 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. Nº de ref. de la librería APC9780199271443

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Poon, Ser-Huang
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Descripción Oxford University Press, 2017. Hardcover. Estado de conservación: New. This item is printed on demand. Nº de ref. de la librería 0199271445

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Ser-Huang Poon; Richard C. Stapleton
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ISBN 10: 0199271445 ISBN 13: 9780199271443
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Descripción Oxford University Press, 2005. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería 0199271445

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Ser-Huang Poon
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Descripción Oxford University Press, USA. Hardcover. Estado de conservación: New. Hardcover. 152 pages. Dimensions: 8.6in. x 5.5in. x 0.6in.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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. Nº de ref. de la librería 9780199271443

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