Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance)
Ser-Huang Poon, Richard C. Stapleton, "Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance)"
Oxford University Press | 2005 | ISBN: 0199271445 | 152 pages | PDF | 1,6 MB
Oxford University Press | 2005 | ISBN: 0199271445 | 152 pages | PDF | 1,6 MB
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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