Dynamic asset pricing theory:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ
Princeton Univ. Press
1996
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Table of contents Publisher description Inhaltsverzeichnis |
| Beschreibung: | XVII, 395 S. graph. Darst. |
| ISBN: | 0691021252 |
Internformat
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| 245 | 1 | 0 | |a Dynamic asset pricing theory |c Darrell Duffie |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Princeton, NJ |b Princeton Univ. Press |c 1996 | |
| 300 | |a XVII, 395 S. |b graph. Darst. | ||
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| 650 | 4 | |a Análisis de inversiones | |
| 650 | 4 | |a Incertidumbre (Economía) | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Uncertainty | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface xiii
PART I DISCRETE TIME MODELS 1
1 An Introduction to State Pricing 3
A Arbitrage and State Prices 3
B Risk Neutral Probabilities 5
C Optimality and Asset Pricing 5
D Equilibrium, Pareto Optimality, and Complete Markets .... 8
E Pareto Optimality and the Representative Agent 9
F State Price Beta Models 11
Exercises 13
Notes 17
2 The Basic Multiperiod Model 21
A Uncertainty 21
B Security Markets 22
C Arbitrage, State Prices, and Martingales 22
D Individual Agent Optimality 24
E Equilibrium and Pareto Optimality 26
F Equilibrium Asset Pricing 26
G Arbitrage and Equivalent Martingale Measures 28
H Valuation of Redundant Securities 30
I American Exercise Policies and Valuation 31
J Is Early Exercise Optimal? 34
Exercises 36
Notes 43
vii
viii Contents
3 The Dynamic Programming Approach 47
A The Bellman Approach 47
B First Order Conditions of the Bellman Equation 48
C Markov Uncertainty 49
D Markov Asset Pricing 50
E Security Pricing by Markov Control 50
F Arbitrage Free Valuation in a Markov Setting 53
G Early Exercise and Optimal Stopping 54
Exercises 56
Notes 61
4 The Infinite Horizon Setting 63
A The Markov Dynamic Programming Solution 63
B Markov Dynamic Programming and Equilibrium 67
C Arbitrage and State Prices 68
D Optimality and State Prices 69
E Method of Moments Estimation 70
Exercises 74
Notes 76
PART II CONTINUOUS TIME MODELS 79
5 The Black Scholes Model 81
A Trading Gains for Brownian Prices 81
B Martingale Trading Gains 83
C Ito Prices and Gains 84
D Ito s Lemma 85
E The Black Scholes Option Pricing Formula 86
F A First Attack on the Black Scholes Formula 87
G The PDE for Arbitrage Free Derivative Security Prices 89
H The Feynman Kac Solution 91
I The Multidimensional Case 92
Exercises 95
Notes 98
6 State Prices and Equivalent Martingale Measures 101
A Arbitrage 101
B Numeraire Invariance 102
C Doubling Strategies and State Price Deflators 103
D State Price Restrictions on Expected Rates of Return 105
E State Price Beta Models 107
Contents ix
F Equivalent Martingale Measures 108
G Girsanov s Theorem and Equivalent Martingale Measures . . . 109
H Black Scholes, One More Time 112
I Complete Markets and Redundant Security Prices 113
J State Prices and Equivalent Martingale Measures 115
K Arbitrage Pricing with Dividends 116
L Lumpy Dividends and the Term Structure 118
M Equivalent Martingale Measures Implied by No Arbitrage . . . 121
Exercises 123
Notes 125
7 Term Structure Models 129
A The Term Structure 130
B One Factor Term Structure Models 131
C The Gaussian Single Factor Models 133
D The Cox Ingersoll Ross Model 135
E The Affine Single Factor Models 136
F Term Structure Derivatives 138
G Hedging 140
H Green s Function and the Term Structure 142
I Multifactor Models 143
J The Multifactor CIR Term Structure Model 144
K Mortgage Backed Securities 146
L The Heath farrow Morton Model of Forward Rates 149
Exercises 153
Notes 159
8 Derivative Assets 165
A Equivalent Martingale Measures in a Black Box 165
B Forward Prices 167
C Futures Contracts and Continuous Resettlement 169
I) Arbitrage Free Characterization of Futures Prices 170
E American Security Valuation 172
F Exercise and Continuation Regions for American Securities . 175
G I.ookback Options 178
H Stochastic Volatility 180
Exercises 18.)
Notes 186
9 Optimal Portfolio and Consumption Choice 191
A Stochastic Control 191
x Contents
B Merton s Problem 195
C Solution to Merton s Problem 197
D The Infinite Horizon Case 200
E The Martingale Formulation 202
F Martingale Solution 205
G A Generalization 208
H The Utility Gradient Approach 209
Exercises 212
Notes 216
10 Equilibrium 219
A The Primitives 219
B Security Spot Market Equilibrium 220
C Arrow Debreu Equilibrium 221
D Implementing Arrow Debreu Equilibrium 222
E Real Security Prices 224
F Optimality with Additive Separable Utility 225
G Equilibrium with Smooth Additive Utility 227
H The Consumption Based CAPM 229
I The CIR Term Structure 230
J The CCAPM without Dynamic Spanning 233
Exercises 234
Notes 239
11 Numerical Methods 243
A Central Limit Theorems 243
B Convergence from Binomial to Black Scholes 244
C Binomial Convergence for Unbounded Derivative Payoffs . . 247
D Discretization of Asset Price Processes 247
E Monte Carlo Simulation 249
F Asymptotically Efficient Tradeoff in Simulating SDEs 250
G Estimation of the Feynman Kac Pricing Solution 251
H Finite Difference Methods 252
I A Finite Difference Term Structure Example 256
J Finite Difference Algorithms with Early Exercise Options . . . 258
K The Numerical Solution of State Prices 259
L Numerical Solution of the Pricing Semi Group 262
M Numerically Fitting the Initial Term Structure 264
Exercises 265
Notes 266
Contents xi
APPENDIXES 269
A Probability—The Finite State Case 271
B Separating Hyperplanes and Optimality 275
C Probability—The General Case 279
D Stochastic Integration 285
E SDEs, PDEs, and the Feynman Kac Formula 291
F Calculation of Utility Gradients 299
G Finite Difference Computer Code 305
Bibliography 311
Symbol Glossary 371
Author Index 373
Subject Index 383
|
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| callnumber-first | H - Social Science |
| callnumber-label | HG4637 |
| callnumber-raw | HG4637.D84 1996 |
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| callnumber-sort | HG 44637 D84 41996 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 QK 620 QK 800 QP 820 |
| classification_tum | MAT 902f |
| ctrlnum | (OCoLC)611590515 (DE-599)BVBBV011059288 |
| dewey-full | 332.620 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 20 332.6 |
| dewey-search | 332.6 20 332.6 |
| dewey-sort | 3332.6 220 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| indexdate | 2024-07-09T18:03:18Z |
| institution | BVB |
| isbn | 0691021252 |
| language | English |
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| publisher | Princeton Univ. Press |
| record_format | marc |
| spelling | Duffie, Darrell 1954- Verfasser (DE-588)128596120 aut Dynamic asset pricing theory Darrell Duffie 2. ed. Princeton, NJ Princeton Univ. Press 1996 XVII, 395 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Análisis de inversiones Incertidumbre (Economía) Capital assets pricing model Portfolio management Uncertainty Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Preistheorie (DE-588)4115623-7 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf Monetäre Wechselkurstheorie (DE-588)4758072-0 s Preistheorie (DE-588)4115623-7 s Portfolio Selection (DE-588)4046834-3 s DE-604 Kapitalmarkt (DE-588)4029578-3 s Modell (DE-588)4039798-1 s Entscheidung bei Unsicherheit (DE-588)4070864-0 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Optionspreistheorie (DE-588)4135346-8 s Kapitalmarkttheorie (DE-588)4137411-3 s 1\p DE-604 http://www.loc.gov/catdir/toc/prin031/95032122.html Table of contents http://www.loc.gov/catdir/description/prin021/95032122.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007406599&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Duffie, Darrell 1954- Dynamic asset pricing theory Análisis de inversiones Incertidumbre (Economía) Capital assets pricing model Portfolio management Uncertainty Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Preistheorie (DE-588)4115623-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Modell (DE-588)4039798-1 gnd Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Optionspreistheorie (DE-588)4135346-8 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4115623-7 (DE-588)4046834-3 (DE-588)4039798-1 (DE-588)4758072-0 (DE-588)4029578-3 (DE-588)4137411-3 (DE-588)4135346-8 (DE-588)4070864-0 |
| title | Dynamic asset pricing theory |
| title_auth | Dynamic asset pricing theory |
| title_exact_search | Dynamic asset pricing theory |
| title_full | Dynamic asset pricing theory Darrell Duffie |
| title_fullStr | Dynamic asset pricing theory Darrell Duffie |
| title_full_unstemmed | Dynamic asset pricing theory Darrell Duffie |
| title_short | Dynamic asset pricing theory |
| title_sort | dynamic asset pricing theory |
| topic | Análisis de inversiones Incertidumbre (Economía) Capital assets pricing model Portfolio management Uncertainty Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Preistheorie (DE-588)4115623-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Modell (DE-588)4039798-1 gnd Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Optionspreistheorie (DE-588)4135346-8 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd |
| topic_facet | Análisis de inversiones Incertidumbre (Economía) Capital assets pricing model Portfolio management Uncertainty Capital-Asset-Pricing-Modell Preistheorie Portfolio Selection Modell Monetäre Wechselkurstheorie Kapitalmarkt Kapitalmarkttheorie Optionspreistheorie Entscheidung bei Unsicherheit |
| url | http://www.loc.gov/catdir/toc/prin031/95032122.html http://www.loc.gov/catdir/description/prin021/95032122.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007406599&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT duffiedarrell dynamicassetpricingtheory |