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Detalles bibliogr�ficos

T�tulo: Dynamic Asset Pricing Theory, Third Edition.
Editor: Princeton University Press
Fecha de publicaci�n: 2001
Idioma: Ingl�s
ISBN 10: 069109022X
ISBN 13: 9780691090221
Encuadernaci�n: Encuadernaci�n de tapa dura
Edici�n: 3� Edici�n
Estado: good

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Sinopsis

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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J. 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.

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For over half a century, Goodwill of Colorado has been dedicated to breaking the financial, physical, intellectual and social barriers that keep individuals from leading independent and purpose-filled lives. We accomplish this mission through over 40 diverse and innovative employment and life skills programs that foster confidence and opportunity for individuals with economic and development challenges.

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Goodwill of Colorado
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