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Asset Pricing In Discrete Time A Complete Markets Approach Serhuang Poon

  • SKU: BELL-1081420
Asset Pricing In Discrete Time A Complete Markets Approach Serhuang Poon
$ 31.00 $ 45.00 (-31%)

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Asset Pricing In Discrete Time A Complete Markets Approach Serhuang Poon instant download after payment.

Publisher: Oxford University Press, USA
File Extension: PDF
File size: 2.54 MB
Pages: 153
Author: Ser-Huang Poon, Richard C. Stapleton
ISBN: 9780199271443, 0199271445
Language: English
Year: 2005

Product desciption

Asset Pricing In Discrete Time A Complete Markets Approach Serhuang Poon by Ser-huang Poon, Richard C. Stapleton 9780199271443, 0199271445 instant download after payment.

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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