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Download Asset pricing in discrete time: a complete markets approach by Ser-Huang Poon, Richard C. Stapleton in PDF format completely FREE. No registration required, no payment needed. Get instant access to this valuable resource on PDFdrive.to!
About Asset pricing in discrete time: a complete markets approach
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.
Detailed Information
| Author: | Ser-Huang Poon, Richard C. Stapleton |
|---|---|
| Publication Year: | 2005 |
| ISBN: | 199271445 |
| Pages: | 153 |
| Language: | English |
| File Size: | 2.541 |
| Format: | |
| Price: | FREE |
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