Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance)
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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.
Format:Hardcover
Language:English
ISBN:0199271445
ISBN13:9780199271443
Release Date:April 2005
Publisher:Oxford University Press, USA
Length:152 Pages
Weight:0.70 lbs.
Dimensions:0.6" x 6.5" x 8.7"
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