Dynamic Asset Pricing Theory: Third Edition

Hardback

Main Details

Title Dynamic Asset Pricing Theory: Third Edition
Authors and Contributors      By (author) Darrell Duffie
SeriesPrinceton Series in Finance
Physical Properties
Format:Hardback
Pages:488
Dimensions(mm): Height 235,Width 152
Category/GenreInvestment and securities
ISBN/Barcode 9780691090221
ClassificationsDewey:332.60151
Audience
Professional & Vocational
Tertiary Education (US: College)
Edition 3rd Revised edition
Illustrations 2 tables, 12 line illus.

Publishing Details

Publisher Princeton University Press
Imprint Princeton University Press
Publication Date 21 October 2001
Publication Country United States

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 should 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 coninuous-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 inc

Author Biography

J. Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business. Stanford University. He teaches and does research in the area of asset valuation, risk management, credit risk modeling, and fixed-income and equity markets. His other books include Security Markets, Stochastic Models, and Futures Markets.

Reviews

"This is an important addition to the set of text/reference books on asset pricing theory. It will, if it has not already, become the standard text for the second Ph.D. course in security markets. Its treatment of contingent claim valuation, in particular, is unrivaled in its breadth and coherence."--Journal of Economic Literature