Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Asset Pricing in Discrete Time: A Complete Markets Approach

Asset Pricing in Discrete Time: A Complete Markets Approach

Poon, Ser-Huang
Stapleton, Richard C.

Hardcover

Series: Oxford Finance

Investing & FinancePersonal Finance

ISBN10: 0199271445
ISBN13: 9780199271443
Publisher: Oxford University Press
Published: Apr 7 2005
Pages: 152
Weight: 0.68
Height: 0.55 Width: 6.54 Depth: 8.74
Language: English
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.

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