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

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

Editorial Reviews
Book Description
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.

Asset Pricing in Discrete Time : A Complete Markets Approach (Oxford Finance Series),Ser-Huang Poon,Richard C. Stapleton,Oxford University Press, USA,0199271445,Business & Economics,Business / Economics / Finance,Capital assets pricing model,Finance,Personal Finance,Personal Finance - General,Business & Economics / Personal Finance / General,Economics | Business,Investment & securities

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Book Details

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