Dynamic asset pricing theory:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2001
|
| Edition: | 3. ed. |
| Subjects: | |
| Online Access: | Table of contents Publisher description Inhaltsverzeichnis Klappentext |
| Item Description: | Includes bibliographical references (p. 373-443) and indexes |
| Physical Description: | XIX, 465 S. graph. Darst. |
| ISBN: | 069109022X 9780691090221 |
Staff View
MARC
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| 264 | 1 | |a Princeton, NJ [u.a.] |b Princeton Univ. Press |c 2001 | |
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| 500 | |a Includes bibliographical references (p. 373-443) and indexes | ||
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| 650 | 4 | |a Incertidumbre | |
| 650 | 4 | |a Incertitude | |
| 650 | 7 | |a Kapitaalgoederen |2 gtt | |
| 650 | 7 | |a Modellen |2 gtt | |
| 650 | 4 | |a Modèle de fixation du prix des actifs | |
| 650 | 7 | |a Onzekerheid |2 gtt | |
| 650 | 7 | |a Portfolio-theorie |2 gtt | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Portfolio management | |
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Record in the Search Index
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| adam_text | Contents
Preface
PARTI DISCRETE-TIME
Introduction to State Pricing
A Arbitrage and State Prices
B Risk-Neutral
С
D
E
F
Exercises
Notes
The Basic Multiperiod Model
A Uncertainty
В
С
D
E
F
G
H
I American Exercise Policies and Valuation
J
Exercises
Notes
vu
vüi Contents
3
A The Bellman Approach
В
С
D
E
F
G
Exercises
Notes
4
A Markov Dynamic Programming
В
С
D Optimality
E
Exercises
Notes
PART
5
A Trading Gains for Brownian Prices
В
С
D
E
F
G
H
I The Multidimensional Case
Exercises
Notes
6
A Arbitrage
В
С
D
Contents ix
E
F State
G
H Black-Scholes
I Complete Markets
J
К
L
M
N
Exercises
Notes
7
A The Term Structure
В
С
D
E
F
G
H Multifactor
I
J
K Markovian
Exercises
Notes
8
A Martingale Measures in a Black Box
В
С
D
E
F
G
H
I Lookback
Exercises
Notes
x
9
A Stochastic Control
В
С
D
E
F
G A
H
Exercises
Notes
10
A The Primitives
В
С
D
E
F Optimality
G
H
I The
J
Exercises
Notes
11
A The Black-Scholes-Merton Model
В
С
D
E
F
G
H
I Risk-Neutral Intensity Process
J
К
L
Exercises
Notes
Contents xi
12
A Central Limit Theorems
В
С
D
E
F
G
H
I Term-Structure Example
J
К
L
M
Exercises
Notes
APPENDIXES
A Finite-State Probability
В
С
D
E
F Ito s
G
H
I Counting Processes
J
Bibliography
Symbol Glossary
Author Index
Subject Index
DYNAMIC ASSET
PRICING THEORY
THIRD EDITION
D A R R E L L D U F F I E
This is a thoroughly updated edition of Dynamic Asset
Pricing Theory, the standard text for doctoral studunts
and researchers on the theory of asset pricing and
portfolio selection
uncertainty. The asset pricing results are hosed on
three increasingly
arbitrage, single agent optimslity, and equilibrium.
These results are unified with two key concepts, statB
prices and martingales. Technicalities nra given relative
ly tittie emphasis, so as to draw connections between
these concepts and to make plain the similarities
between discrete and continuous
Readers wilt 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
Brownien
jumps -for example, tftosu
arrivais—
such as
structure models,
methods. Numerical ro«theete «wared include Monte
Cario
(continued from front flap)
extensive problem exercises and notes to the litera¬
ture. 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.
|
| any_adam_object | 1 |
| author | Duffie, Darrell 1954- |
| author_GND | (DE-588)128596120 |
| author_facet | Duffie, Darrell 1954- |
| author_role | aut |
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| callnumber-first | H - Social Science |
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| callnumber-subject | HG - Finance |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 332.6 21 |
| dewey-search | 332.6 332.6 21 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 3. ed. |
| format | Book |
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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 3. ed. Princeton, NJ [u.a.] Princeton Univ. Press 2001 XIX, 465 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references (p. 373-443) and indexes Gestion de portefeuille Incertidumbre Incertitude Kapitaalgoederen gtt Modellen gtt Modèle de fixation du prix des actifs Onzekerheid gtt Portfolio-theorie gtt Capital assets pricing model Portfolio management Uncertainty Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Preistheorie (DE-588)4115623-7 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 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 Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Kapitalmarkt (DE-588)4029578-3 s Modell (DE-588)4039798-1 s Entscheidung bei Unsicherheit (DE-588)4070864-0 s Optionspreistheorie (DE-588)4135346-8 s Kapitalmarkttheorie (DE-588)4137411-3 s DE-188 http://www.loc.gov/catdir/toc/prin031/2001021235.html Table of contents http://www.loc.gov/catdir/description/prin022/2001021235.html Publisher description Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009874759&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009874759&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Duffie, Darrell 1954- Dynamic asset pricing theory Gestion de portefeuille Incertidumbre Incertitude Kapitaalgoederen gtt Modellen gtt Modèle de fixation du prix des actifs Onzekerheid gtt Portfolio-theorie gtt Capital assets pricing model Portfolio management Uncertainty Kapitalmarkt (DE-588)4029578-3 gnd Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Modell (DE-588)4039798-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Preistheorie (DE-588)4115623-7 gnd Optionspreistheorie (DE-588)4135346-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4758072-0 (DE-588)4070864-0 (DE-588)4039798-1 (DE-588)4137411-3 (DE-588)4115623-7 (DE-588)4135346-8 (DE-588)4121078-5 (DE-588)4046834-3 |
| 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 | Gestion de portefeuille Incertidumbre Incertitude Kapitaalgoederen gtt Modellen gtt Modèle de fixation du prix des actifs Onzekerheid gtt Portfolio-theorie gtt Capital assets pricing model Portfolio management Uncertainty Kapitalmarkt (DE-588)4029578-3 gnd Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Modell (DE-588)4039798-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Preistheorie (DE-588)4115623-7 gnd Optionspreistheorie (DE-588)4135346-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Gestion de portefeuille Incertidumbre Incertitude Kapitaalgoederen Modellen Modèle de fixation du prix des actifs Onzekerheid Portfolio-theorie Capital assets pricing model Portfolio management Uncertainty Kapitalmarkt Monetäre Wechselkurstheorie Entscheidung bei Unsicherheit Modell Kapitalmarkttheorie Preistheorie Optionspreistheorie Capital-Asset-Pricing-Modell Portfolio Selection |
| url | http://www.loc.gov/catdir/toc/prin031/2001021235.html http://www.loc.gov/catdir/description/prin022/2001021235.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009874759&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009874759&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT duffiedarrell dynamicassetpricingtheory |