This is a thoroughly updated edition of "Dynamic Asset Pricing Theory", the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, singleagent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuoustime models. Readers should be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the coninuoustime portion of the theory is based on Brownian motion, this third edition introduces jumps  for example, those associated with Poisson arrivals  in order to accommodate surprise events such as bond defaults. Applications include termstructure models, derivative valuation, and hedging methods. Numerical methods covered inc
About Darrell Duffie
J. Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business. Stanford University. He teaches and does research in the area of asset valuation, risk management, credit risk modeling, and fixedincome and equity markets. His other books include Security Markets, Stochastic Models, and Futures Markets.Details Book
Author  :  Darrell Duffie 
Publisher  :  Princeton University Press 
Data Published  :  01 October 2001 
ISBN  :  069109022X 
EAN  :  9780691090221 
Format Book  :  PDF, Epub, DOCx, TXT 
Number of Pages  :  488 pages 
Age +  :  15 years 
Language  :  English 
Rating  : 
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