An Alternative Dynamic Asset Pricing Model
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Dynamic Asset Pricing Theory
Author | : Darrell Duffie |
Publisher | : Princeton University Press |
Total Pages | : 488 |
Release | : 2010-01-27 |
Genre | : Business & Economics |
ISBN | : 1400829208 |
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, single-agent 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 continuous-time models. Readers will 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 continuous-time 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 term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Dynamic Asset Allocation with Forwards and Futures
Author | : Abraham Lioui |
Publisher | : Springer Science & Business Media |
Total Pages | : 268 |
Release | : 2005-12-06 |
Genre | : Business & Economics |
ISBN | : 038724106X |
This book is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.
Empirical Dynamic Asset Pricing
Author | : Kenneth J. Singleton |
Publisher | : |
Total Pages | : 0 |
Release | : 2006 |
Genre | : BUSINESS & ECONOMICS |
ISBN | : 9781282608030 |
Empirical Dynamic Asset Pricing
Author | : Kenneth J. Singleton |
Publisher | : Princeton University Press |
Total Pages | : 497 |
Release | : 2009-12-13 |
Genre | : Business & Economics |
ISBN | : 1400829232 |
Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Dynamic Asset Pricing Theory
Author | : Darrell Duffie |
Publisher | : |
Total Pages | : 486 |
Release | : 2005-01-01 |
Genre | : |
ISBN | : 9788122416954 |
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 Multi-Period Settings Under Uncertainty. The Asset Pricing Results Are Based On Three Increasingly Restrictive Assumptions: Absence Of Arbitrage, Single-Agent 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 Continuous-Time Models.Readers Will 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 Continuous-Time 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 Term-Structure Models, Derivative Valuation, And Hedging Methods. Numerical Methods Covered Include Monte Carlo Simulation And Finite-Difference Solutions For Partial Differential Equations. Each Chapter Provides Extensive Problem Exercises And Notes To The Literature. A System Of Appendixes Reviews The Necessary Mathematical Concepts. And References Have Been Updated Throughout. With This New Edition, Dynamic Asset Pricing Theory Remains At The Head Of The Field.This Special Low-Priced Edition Is For Sale In India, Bangladesh, Bhutan, Maldives, Nepal, Myanmar, Pakistan And Sri Lanka Only.
Alternative Capital Asset Pricing Models
Author | : Attiya Y. Javed |
Publisher | : |
Total Pages | : 48 |
Release | : 2000 |
Genre | : Capital assets pricing model |
ISBN | : |
Dynamic Asset Pricing Models with Nonparametric Expectations
Author | : Peter Woehrmann |
Publisher | : Tectum Verlag DE |
Total Pages | : 102 |
Release | : 2002 |
Genre | : Assets (Accounting) |
ISBN | : 9783828883741 |