ENGLISH

Asset pricing in discrete time

By Ser-Huang Poon , Richard C. Stapleton

Book information

Publisher
Oxford University Press, USA
Year
2005
ISBN
0199271445, 9780199271443, 9781435633940
LCC
HG4636 .P66 2005
Open Library ID
OL3438678M
Language
english
Format
PDF
Filesize
2 MB (2519292 bytes)
Series
Oxford Finance
Pages
153\153
Topic
Economy
Library
Kolxo3
Scanned
yes
Time added
2010-07-29 05:14:56

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.

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