Asset pricing in discrete time
Ser-Huang Poon, Richard C. Stapleton
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.
Catégories:
Année:
2005
Editeur::
Oxford University Press, USA
Langue:
english
Pages:
153
ISBN 10:
1435633946
ISBN 13:
9781435633940
Collection:
Oxford Finance
Fichier:
PDF, 2.40 MB
IPFS:
,
english, 2005