DARRELL DUFFIE DYNAMIC ASSET PRICING PDF

Kazrajinn Game Theory Hardcover Books. Dynamic Asset Pricing Theory. The lowest-priced item that has been used or worn previously. These results are unified with two key concepts, state prices and martingales.

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Main Dynamic asset pricing theory Dynamic asset pricing theory Darrell Duffie 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. 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.

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Dynamic asset pricing theory

Darrell Duffie 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.

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Darrell Duffie

Reviews 1 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. 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.

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