EBOOK Asset Pricing in Discrete Time A Complete Markets Approach - POON SER-HUANG

EBOOK Asset Pricing in Discrete Time A Complete Markets Approach

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Autor: POON SER-HUANG

Wydawnictwo: Oxford University Press
ISBN: 9780191533891
EAN: 05C7F3CCEB
Format: 0,0 x 0,0 x 0,0
Oprawa: ...
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Data wydania: 2005
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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.

Książka "EBOOK Asset Pricing in Discrete Time A Complete Markets Approach"
POON SER-HUANG