Dynamic Asset Pricing Theory, Third Edition.

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9780691090221: Dynamic Asset Pricing Theory, Third Edition.

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.

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About the Author:

Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business, Stanford University. He teaches and does research in the area of asset valuation, risk management, credit risk modeling, and fixed-income and equity markets. His other books include Security Markets: Stochastic Models and Futures Markets.

Review:

"This is an important addition to the set of text/reference books on asset pricing theory. It will, if it has not already, become the standard text for the second Ph.D. course in security markets. Its treatment of contingent claim valuation, in particular, is unrivaled in its breadth and coherence."--Journal of Economic Literature

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Duffie, Darrell
Editorial: U.S.A.: Princeton University Press (2001)
ISBN 10: 069109022X ISBN 13: 9780691090221
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Descripción U.S.A.: Princeton University Press, 2001. Soft cover. Estado de conservación: New. Estado de la sobrecubierta: New. 3rd Edition. Low price guarantee! The book is the brand new international edition textbook with the different ISBN and cover design. The book main content black/white printed in full English as same as the corresponding original US edition. Fast shipments in one to two working days after the orders confirmed. Nº de ref. de la librería ABE-15563788654

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Duffie, Darrell
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Descripción Princeton University Press, 2001. Hardcover. Estado de conservación: New. New - excellent, clean condition, Hard-Bound with dust jacket. Nº de ref. de la librería A-25064

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Duffie, Darrell;Duffie, J. Darrell
Editorial: Ewing, New Jersey, U.S.A.: Princeton Univ Pr (2001)
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Descripción Ewing, New Jersey, U.S.A.: Princeton Univ Pr, 2001. Soft cover. Estado de conservación: New. Estado de la sobrecubierta: New. 3rd Edition. **INTERNATIONAL EDITION** Read carefully before purchase: This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. The book printed in black and white, generally send in twenty-four hours after the order confirmed. All shipments go through via USPS/UPS/DHL with tracking numbers. Great professional textbook selling experience and expedite shipping service. Nº de ref. de la librería ABE-12426246141

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Descripción Princeton University Press, United States, 2001. Hardback. Estado de conservación: New. Third. Language: English . Brand New Book. 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. Nº de ref. de la librería AAU9780691090221

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Descripción Princeton University Press. Hardcover. Estado de conservación: New. New copy - Usually dispatched within 2 working days. Nº de ref. de la librería B9780691090221

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Darrell Duffie
Editorial: Princeton University Press, United States (2001)
ISBN 10: 069109022X ISBN 13: 9780691090221
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The Book Depository US
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Descripción Princeton University Press, United States, 2001. Hardback. Estado de conservación: New. Third. Language: English . Brand New Book. 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. Nº de ref. de la librería AAU9780691090221

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Descripción Princeton University Press, 2001. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería WP-9780691090221

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Descripción Princeton University Press, 2001. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería M069109022X

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Darrell Duffie
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Descripción Princeton University Press 2001-10-29, Princeton, N.J., 2001. hardback. Estado de conservación: New. Nº de ref. de la librería 9780691090221

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Descripción Princeton University Press, 2001. Estado de conservación: New. book. Nº de ref. de la librería ria9780691090221_rkm

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