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

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

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    Available in PDF - DJVU Format | Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series).pdf | Language: ENGLISH
    Ser-Huang Poon (Author)

    Book details


Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance.

―: Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset Pricing Model.

―: Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricing kernel.

―: Derives the prices of European-style contingent claims, in particular call options, in a one-period model: derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price.

―: Extends the analysis to contingent claims on assets with non-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist.

―: Expands the treatment of asset pricing to a multi-period economy, deriving prices in a rational expectations equilibrium.

―: Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives.

―: Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model.
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Formats for this Ebook

PDF
Required Software Any PDF Reader, Apple Preview
Supported Devices Windows PC/PocketPC, Mac OS, Linux OS, Apple iPhone/iPod Touch.
# of Devices Unlimited
Flowing Text / Pages Pages
Printable? Yes

Book details

  • PDF | 154 pages
  • Ser-Huang Poon (Author)
  • OUP Oxford (1 April 2005)
  • English
  • 9
  • Business, Finance Law

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