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Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series)
Ser-Huang Poon; Richard C. Stapleton (Author)
·
Oxford University Press
· Hardcover
Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series) - Ser-Huang Poon; Richard C. Stapleton
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Synopsis "Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance Series)"
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.
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
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