eTextbook: Dynamic Asset Pricing Theory, Third Edition.

Book Jacket Image

List Price 1: $115.00

Rent for 6 months *$46.00

* 6 months - expires 10/14/14
You save $69.00

Prices do not include sales tax, which may apply.

List Price 1: $115.00

eTextbook Purchase: $92.00

You save $23.00

Are you a school looking to buy multiple copies of this book?

  • Free Book Promotion

    For a limited time, this book is eligible for free.

    Click here to redeem the Facebook Offer

    Author(s): Duffie, Darrell

    ISBN 10: 069109022X. See all ISBN's

    ISBN 13: 9780691090221

    Edition: 3

    Publisher: Princeton University Press

    This is an eTextbook Learn More

    Description:

    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.

    All ISBN's for this title:

    ISBN 10: 069109022X, ISBN 13: 9780691090221, eISBN 10: 1400829208, eISBN 13: 9781400829200

    1. List price can refer to either the digital or print list price, whichever is available to Kno.
  • Cool Product Features

    Kno In Action

    Search

    Journal

    Flashcards

    Kno Me

    Smart Links