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Thursday, July 23, 2020 | History

8 edition of Asset pricing in discrete time found in the catalog.

Asset pricing in discrete time

a complete markets approach

by Ser-Huang Poon

  • 319 Want to read
  • 29 Currently reading

Published by Oxford University Press in Oxford, New York .
Written in English

    Subjects:
  • Capital assets pricing model

  • Edition Notes

    Includes bibliographical references (p. [135]-137) and index.

    StatementSer-Huang Poon and Richard C. Stapleton.
    SeriesOxford finance
    ContributionsStapleton, Richard C.
    Classifications
    LC ClassificationsHG4636 .P66 2005
    The Physical Object
    Paginationxii, 140 p. :
    Number of Pages140
    ID Numbers
    Open LibraryOL3438678M
    ISBN 100199271445
    LC Control Number2005297655
    OCLC/WorldCa56463374

    This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Get this from a library! Asset pricing in discrete time: a complete markets approach. [Ser-Huang Poon; Richard C Stapleton; Oxford University Press.] -- A graduate text focusing on pricing methods for financial assets, this book provides an excellent link between the key concepts of asset pricing and derivative pricing, using some simple economic and.

    ISBN: OCLC Number: Description: 1 online resource (viii, pages) Contents: 1. Introduction Main Goals The Importance of The No-Arbitrage Theory The Discrete Time Approach and Some Key Features of This Book Comparisons with Other Textbooks A Brief Summary of the Contents Options, Futures and Other Derivatives Overview No. respect to the consumption. During this period, general equilibrium asset pricing theory in a discrete-time setting was developed in a seminal paper by Lucas ~! in an exchange economy setting. Cox, Ingersoll, and Ross ~hereafter CIR!~a! developed a general equilibrium framework for as-set pricing in a continuous-time setting production.

    which is constant over time, i.e.ξt=ξt+1,t=1,2,,N−1,isself-financingbyconstruction. Here, portfolio re-allocation happens “overnight”, during which time the global portfolio value remains the same due to the self-financing condition. The portfolio allocationξtremains the same throughout the day, however. “This book is a splendid compilation of the main research recently done in the fields of arbitrage pricing, portfolio theory and market efficiency. This book is a reference for those researchers interested in asset pricing by using stochastic calculus.” (Salvador C. Rambaud, Mathematical Reviews, July, ).


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Asset pricing in discrete time by Ser-Huang Poon Download PDF EPUB FB2

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/5(2).

The book moves easily between discrete-time and continuous-time models. This is an excellent thing as it encourages students to see beyond the formalism Asset pricing in discrete time book the underlying economics. I strongly recommend it as an advanced finance text." My first book on asset pricing was Duffie's Dynamic Asset Pricing Theory (2nd ed), and it has perhaps Cited by: Discrete‐time Asset Pricing Models in Applied Stochastic Finance.

Author(s): P‐C.G. Vassiliou; we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional expectations and.

The main goal of this book is to provide a systematic exposition, with practical appli­ cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing.

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.

Buy Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series) by Poon, Ser-Huang, Stapleton, Richard C (ISBN: ) from Amazon's Book Store. Everyday low prices and free delivery on eligible s: 2.

Dynamic Asset Pricing Theory, Duffie I prefer to use my own lecture notes, which cover exactly the topics that I want. I like very much each of the books above. I list below a little about each book. Does a great job of explaining things, especially in discrete time. Hull—More a book in straight finance, which is what it is intended.

Term structure models – a discrete-time introduction Asset pricing theory tries to understand the prices or values of claims to uncertain payments. first Chapter of this book: price equals expected discounted payoff.

The rest is elaboration. The Binomial Asset Pricing Model The binomial asset pricing model provides a powerful tool to understand arbitrage pricing theory and probability theory. In this course, we shall use it for both these purposes.

In the binomial asset pricing model, we model stock prices in discrete time. Discrete-time Asset Pricing Models in Applied Stochastic Finance (Iste Book ) - Kindle edition by Vassiliou, P.

Download it once and read it on your Kindle device, PC, phones or tablets. Use features like bookmarks, note taking and highlighting while reading Discrete-time Asset Pricing Models in Applied Stochastic Finance (Iste Book ).Manufacturer: Wiley-ISTE.

This note introduces asset pricing theory to Ph.D. students in finance. The emphasis is put on dynamic asset pricing models that are built on continuous-time stochastic processes.

It is very preliminary. Please let me know if you discover any mistake. Shanghai, China, Junhui Qian February [email protected] i. In Asset Pricing and Portfolio Choice Theory, Kerry E.

Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes.

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework.

It is primarily aimed at advanced Masters and PhD students in finance. -- Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of.

: Discrete-time Asset Pricing Models in Applied Stochastic Finance (Iste) (): Vassiliou, P. G.: BooksCited by: 3. Discrete-time Asset Pricing Models in Applied Stochastic Finance (Wiley-iste Ser.) View larger image.

By: we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional.

Chapter 15 extends the concept of asset pricing from discrete to continuous time. Select Chapter 16 - Portfolio Management in the Long Run Book chapter Full text access.

Kerry focuses only on asset pricing theory (including some chapters on continuous time), and does this in much more detail than Cochrane - the two books have roughly the same number of pages. For instance Kerry contains chapters on Epstein-Zin preferences, asymmetric information and other topics not found in Cochrane.

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework.

It is primarily aimed at advanced Masters and PhD students in finance Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. 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.

Discrete-time asset pricing models in applied stochastic finance. Vassiliou, P-C. ISTE/Wiley pages $ Hardcover. This fact is well known for a single-period problem. A dynamic version of this model, called the intertemporal capital asset pricing model, has been introduced by Merton [].

Curiously, this dynamic version is in continuous time and not in discrete time.Get this from a library! Asset pricing: discrete time approach. [Takeaki Kariya; Regina Y Liu] -- "The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and.Financial Economics I is to provide an introduction to asset pricing and portfolio theory.

This term's course is divided into two parts. The first half of this course (taught by Professor Brunnermeier) introduces students to asset pricing in discrete time, covers models in which market participants can have different information and studies bubbles.