Rating: 5 out of 5 stars
5/5
Ebook381 pages11 hours
Dynamic Asset Pricing Theory: Third Edition
Rating: 0 out of 5 stars
()
About this ebook
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 will 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 continuous-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 include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Read more from Darrell Duffie
How Big Banks Fail and What to Do about It The Squam Lake Report: Fixing the Financial System Rating: 4 out of 5 stars4/5The Handbook of China's Financial System Rating: 0 out of 5 stars0 ratings
Related to Dynamic Asset Pricing Theory
Titles in the series (6)
Financial Econometrics: Problems, Models, and Methods Rating: 4 out of 5 stars4/5Credit Risk: Pricing, Measurement, and Management Rating: 1 out of 5 stars1/5Dynamic Asset Pricing Theory: Third Edition Rating: 0 out of 5 stars0 ratingsCredit Risk Modeling: Theory and Applications Rating: 0 out of 5 stars0 ratingsQuantitative Risk Management: Concepts, Techniques and Tools - Revised Edition Rating: 5 out of 5 stars5/5
Related ebooks
A Course on Surgery Theory: (AMS-211) Rating: 0 out of 5 stars0 ratingsDeconstructing the Monolith: The Microeconomics of the National Industrial Recovery Act Rating: 5 out of 5 stars5/5Interest and Prices: Foundations of a Theory of Monetary Policy Rating: 4 out of 5 stars4/5Winners and Losers: The Psychology of Foreign Trade Rating: 0 out of 5 stars0 ratingsWhy Are There So Many Banking Crises?: The Politics and Policy of Bank Regulation Rating: 0 out of 5 stars0 ratingsThe New Dynamic Public Finance Rating: 0 out of 5 stars0 ratingsRuin Probabilities: Smoothness, Bounds, Supermartingale Approach Rating: 0 out of 5 stars0 ratingsCredit Risk: Pricing, Measurement, and Management Rating: 1 out of 5 stars1/5History of Functional Analysis Rating: 1 out of 5 stars1/5Quantitative Management of Bond Portfolios Rating: 0 out of 5 stars0 ratingsThe Economics of Sovereign Debt and Default Rating: 0 out of 5 stars0 ratingsCobb–Douglas production function Second Edition Rating: 0 out of 5 stars0 ratingsProbability, Statistics, and Stochastic Processes Rating: 0 out of 5 stars0 ratingsRobust Optimization Rating: 5 out of 5 stars5/5The Complete Guide to Capital Markets for Quantitative Professionals Rating: 4 out of 5 stars4/5Against Sacrifice: An essay on risk and ethics Rating: 0 out of 5 stars0 ratingsStochastic Stability and Control Rating: 0 out of 5 stars0 ratingsStatistical Inference via Convex Optimization Rating: 0 out of 5 stars0 ratingsStochastic Geometry and Its Applications Rating: 4 out of 5 stars4/5Asset Pricing: Revised Edition Rating: 4 out of 5 stars4/5McGraw-Hill's PMP Certification Mathematics Rating: 0 out of 5 stars0 ratingsRisk Management in the Air Cargo Industry: Revenue Management, Capacity Options and Financial Intermediation Rating: 0 out of 5 stars0 ratingsTheoretical Foundations of Corporate Finance Rating: 5 out of 5 stars5/5ChatGPT for Business: Strategies for Success Rating: 1 out of 5 stars1/5Principles of Functional Verification Rating: 0 out of 5 stars0 ratingsPatterns, Predictions, and Actions: Foundations of Machine Learning Rating: 0 out of 5 stars0 ratingsFinancial Decisions and Markets: A Course in Asset Pricing Rating: 4 out of 5 stars4/5Continuous-Time Models in Corporate Finance, Banking, and Insurance: A User's Guide Rating: 0 out of 5 stars0 ratingsDiscrete Mathematics Rating: 4 out of 5 stars4/5Computational Optimal Control: Tools and Practice Rating: 0 out of 5 stars0 ratings
Economics For You
The Richest Man in Babylon: The most inspiring book on wealth ever written Rating: 5 out of 5 stars5/5Divergent Mind: Thriving in a World That Wasn't Designed for You Rating: 4 out of 5 stars4/5Nickel and Dimed: On (Not) Getting By in America Rating: 4 out of 5 stars4/5Economix: How and Why Our Economy Works (and Doesn't Work), in Words and Pictures Rating: 4 out of 5 stars4/5The Affluent Society Rating: 4 out of 5 stars4/5Predictably Irrational, Revised and Expanded Edition: The Hidden Forces That Shape Our Decisions Rating: 4 out of 5 stars4/5Capitalism and Freedom Rating: 4 out of 5 stars4/5Confessions of an Economic Hit Man, 3rd Edition Rating: 5 out of 5 stars5/5Talking to My Daughter About the Economy: or, How Capitalism Works--and How It Fails Rating: 4 out of 5 stars4/5Doughnut Economics: Seven Ways to Think Like a 21st-Century Economist Rating: 4 out of 5 stars4/5Sex Trafficking: Inside the Business of Modern Slavery Rating: 4 out of 5 stars4/5Principles for Dealing with the Changing World Order: Why Nations Succeed and Fail Rating: 4 out of 5 stars4/5Wise as Fu*k: Simple Truths to Guide You Through the Sh*tstorms of Life Rating: 4 out of 5 stars4/5The Intelligent Investor, Rev. Ed: The Definitive Book on Value Investing Rating: 4 out of 5 stars4/5Capital in the Twenty-First Century Rating: 4 out of 5 stars4/5Chip War: The Fight for the World's Most Critical Technology Rating: 4 out of 5 stars4/5The Two-Parent Privilege: How Americans Stopped Getting Married and Started Falling Behind Rating: 5 out of 5 stars5/5This Changes Everything: Capitalism vs. The Climate Rating: 4 out of 5 stars4/5Economics 101: From Consumer Behavior to Competitive Markets--Everything You Need to Know About Economics Rating: 4 out of 5 stars4/5These Are the Plunderers: How Private Equity Runs—and Wrecks—America Rating: 4 out of 5 stars4/5Recession-Proof Real Estate Investing: How to Survive (and Thrive!) During Any Phase of the Economic Cycle Rating: 5 out of 5 stars5/5The Lords of Easy Money: How the Federal Reserve Broke the American Economy Rating: 4 out of 5 stars4/5The Hard Truth About Soft Skills: Soft Skills for Succeeding in a Hard Wor Rating: 3 out of 5 stars3/5A History of Central Banking and the Enslavement of Mankind Rating: 5 out of 5 stars5/5Bad Samaritans: The Myth of Free Trade and the Secret History of Capitalism Rating: 4 out of 5 stars4/5Money Mischief: Episodes in Monetary History Rating: 4 out of 5 stars4/5Disrupting Sacred Cows: Navigating and Profiting in the New Economy Rating: 0 out of 5 stars0 ratingsA People's Guide to Capitalism: An Introduction to Marxist Economics Rating: 4 out of 5 stars4/5The Spirit Level: Why Greater Equality Makes Societies Stronger Rating: 4 out of 5 stars4/5
Related podcast episodes
CAC Payback Period - SaaS Talk™ with the Metrics Brothers 0% found this document useful63: Running a Super Successful Kickstarter featuring the Trese Brothers 0% found this document usefulRedacted Episode 34: Going Above & Beyond with GoMotiv 0% found this document useful62: Level Design featuring Max Pears 0% found this document usefulGameDev.tv Community Podcast Episode 53 - Game Testing with António João Santos 0% found this document usefulEpisode 62 – BAs and PMs: Decision Making for Superheroes: r.0 0% found this document usefulQualitrol Episode 2: How to Remove Moisture in Transformers 0% found this document usefulGameDev.tv Community Podcast Episode 51 - RPG AMA with Rick and Sam 0% found this document usefulQDD Redux Ep. 2: How to Handle Competing Failure Modes 0% found this document useful76: Ben & Sam Unreal AMA 0% found this document usefulSometimes Boring is OK 0% found this document usefulGameDev.tv Community Podcast Episode 43 - Why the School for Games switched from Unity to Godot 0% found this document useful64: Don't Make WoW 0% found this document usefulEpisode 115: Max Gap in C++23 0% found this document usefulGameDev.tv Community Podcast Episode 54 - Matt Baamonde 0% found this document useful
Related articles
1968 Pontiac Beaumont Sport Deluxe Hemmings Muscle MachinesArticle
1968 Pontiac Beaumont Sport Deluxe
Mar 27, 2022
1 min readSpecifications Go: Drive & CampArticle
Specifications
May 27, 2022
Manufacturer .............................................................................................................................................................. Conqueror Model .............................................................
1 min readYOUR BLADE SHOW GUIDE TO BOOTH & TABLE EXHIBITORS* BladeArticle
YOUR BLADE SHOW GUIDE TO BOOTH & TABLE EXHIBITORS*
May 16, 2023
Exhibitor Name. . . . . . . . . . . . . . . . . . . . . . . . Space Id 3LEAF Customs. . . . . . . . . . . . . . . . . . . . . . . . . . .. 2414 A.G. Russell. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 1610 Abrams & Co. ...............
58 min readSpecifications Go: Drive & CampArticle
Specifications
May 28, 2021
Model .......................................................................................................... Edgeout Sleeps ..................................................................................................................... 2-4
1 min readBuyer's Guide Woodcraft MagazineArticle
Buyer's Guide
May 8, 2023
1. DeWalt 20V Max XR Brushless Cordless Biscuit Joiner (Tool Only).....................................dewalt.com, #DCW682B, $279.00 1. Whiteside Dovetail Router Bit, 14°, 3⁄8" D, 3⁄8" CL, 1⁄4" SH................#24D45, $24.99 2. Whiteside Carbide Pi
1 min readBig Thumper Tech Spec – Aword With The Editor ScooteringArticle
Big Thumper Tech Spec – Aword With The Editor
Oct 22, 2018
3 min readSpecifications Go: Drive & CampArticle
Specifications
Mar 25, 2022
Model ...........................................................................................................Land Cruiser 79 70th Anniversary Engine ................................................................................................
1 min readAdvertisers’ Product Guide EquusArticle
Advertisers’ Product Guide
Aug 25, 2020
Morton Buildings …………… www.mortonbuildings.com 1 Nelson Automatic Waterers …………………………………….. www.nelsonmfg.com ……………………………….38 Sweet PDZ ……………………. www.sweetpdz.com ………………………………….7 GroStrong (ADM) www.admequine.com ………………………………29 ProudPaws (ADM) …………..
1 min readSpecifications Hemmings Muscle MachinesArticle
Specifications
Oct 27, 2020
Baseprice.....................................................................................................................$2,224 Options on car profiled.................................................... Commando V-8 with TorqueFlite automatic t
1 min readSpecifications Hemmings Muscle MachinesArticle
Specifications
Sep 27, 2020
Baseprice.....................................................................................................................$3,843 Options on car profiled..............................................................................................
1 min readRating System Smart PhotographyArticle
Rating System
Jan 8, 2021
Recommended ..................... 75-80% Best Buy.....................81% and above Design & Build Quality.......... (out of 20) Key Features ....................... (out of 20) Ergonomics......................... (out of 20) Performance Autofocus ..
1 min readRating System Smart PhotographyArticle
Rating System
Dec 3, 2020
Recommended ..................... 75-80% Best Buy.....................81% and above Design & Build Quality.......... (out of 20) Key Features ....................... (out of 20) Ergonomics......................... (out of 20) Performance Autofocus .
1 min readRating System Smart PhotographyArticle
Rating System
Nov 2, 2020
Recommended ..................... 75-80% Best Buy.....................81% and above Design & Build Quality.......... (out of 20) Key Features ....................... (out of 20) Ergonomics......................... (out of 20) Performance Autofocus .
1 min readRating System Smart PhotographyArticle
Rating System
Jun 30, 2020
Recommended ..................... 75-80% Best Buy.....................81% and above Design & Build Quality.......... (out of 20) Key Features....................... (out of 20) Ergonomics......................... (out of 20) Performance Autofocus ..
1 min readRating System Smart PhotographyArticle
Rating System
Sep 1, 2020
Recommended ..................... 75-80% Best Buy.....................81% and above Design & Build Quality.......... (out of 20) Key Features ....................... (out of 20) Ergonomics......................... (out of 20) Performance Autofocus ..
1 min readRating System Smart PhotographyArticle
Rating System
Oct 2, 2020
Recommended ..................... 75-80% Best Buy.....................81% and above Design & Build Quality.......... (out of 20) Key Features ....................... (out of 20) Ergonomics......................... (out of 20) Performance Autofocus ..
1 min readLambretta Kit Book Review ScooteringArticle
Lambretta Kit Book Review
Aug 24, 2021
3 min readSpecifications Hemmings Muscle MachinesArticle
Specifications
Oct 27, 2020
Block type....GM/Chevrolet Performance Parts LS3 Gen IV small-block V-8; aluminum Cylinder heads ............. GM aluminum w/ L92-style port; as-cast with 68-cc chambers Displacement....................................................................
1 min readHow Do I Create Animated Liquid In Cinema 4d Without Using Particles? 3D WorldArticle
How Do I Create Animated Liquid In Cinema 4d Without Using Particles?
Jun 15, 2021
3 min readRating System Smart PhotographyArticle
Rating System
Aug 1, 2020
Recommended ..................... 75-80% Best Buy.....................81% and above Design & Build Quality.......... (out of 20) Key Features ....................... (out of 20) Ergonomics......................... (out of 20) Autofocus .............
1 min readIn No Particular Order, The ‘VolksWorld Top 20’ List Consisted Of: VWtArticle
In No Particular Order, The ‘VolksWorld Top 20’ List Consisted Of:
May 13, 2022
Mark Paine ....................................Custom barndoor Type 2 Kenny McBride..................................Custom lowlight Ghia Tony Nixey...................................................Red ’67 turbo’d Bug Eric Van Dooren ............
1 min readTechnically Speaking Classic Dirt BikeArticle
Technically Speaking
Feb 19, 2019
3 min readSig BDX System Specifics Gun DigestArticle
Sig BDX System Specifics
Aug 13, 2019
Relinquishing control is something that’s never easy, and that’s exactly what you must do with Sig’s BDX System—to a certain extent. From Kentucky holdover, drop-compensating reticles, dialing turrets and now, to digital elevation-compensation techno
3 min readBuyer’s Guide Woodcraft MagazineArticle
Buyer’s Guide
Mar 11, 2024
1. Oneida Super Cell Dust Collector...............................................................#188598, $2,899.00 2. MagFitt 4" Magnetic Hose Connector..................................................................#189115, $19.99 3. MagFitt 4"
2 min readReproduction Parts Prices Hemmings Muscle MachinesArticle
Reproduction Parts Prices
Sep 27, 2020
Air dam.............................................................................................$109 Aluminum intake manifold..............................................................$299 Engine-turned instrument panel insert.............
1 min readBusiness Directory Gay PagesArticle
Business Directory
Aug 16, 2021
Adult............................................66, 69 Aesthetic Skin Care.........................71,73 Accommodation...........................68-78 Aids Treatment/Counselling.........71,72,73 Alternative Healing..............................68 Ar
1 min readMissing Links Racecar EngineeringArticle
Missing Links
Aug 5, 2022
Over the last couple of months, I have been working with a number of junior engineers at senior undergraduate level and junior post graduate level. While their enthusiasm has never been in question, I am shocked by the lack of basic skills I am seein
7 min read191965 Chevrolet Corvet L79 Hemmings Muscle MachinesArticle
191965 Chevrolet Corvet L79
Feb 27, 2022
1 min readKinematics 101 Racecar EngineeringArticle
Kinematics 101
May 1, 2020
8 min readSpecifications Hemmings Muscle MachinesArticle
Specifications
Nov 27, 2021
1 min read
Reviews for Dynamic Asset Pricing Theory
Rating: 0 out of 5 stars
0 ratings
0 ratings0 reviews
Book preview
Dynamic Asset Pricing Theory - Darrell Duffie
Enjoying the preview?
Page 1 of 1