Dynamic Asset Pricing Theory
by Darrell Duffie
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Dynamic Asset Pricing Theory is a textbook 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. For simplicity, all continuous-time models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options.
Numerical methods covered include Monte Carlo simulation and finite-difference solvers for partial differential equations.
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Dynamic Asset Pricing Theory
2001, Princeton University Press, Princeton University Press, Princeton University Press
in English
0691021252 9780691021256
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Dynamic asset pricing theory
2001, Princeton University Press
in English
- 3rd ed.
069109022X 9780691090221
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Dynamic asset pricing theory
1996, Princeton University Press
in English
- 2nd ed.
0691021252 9780691021256
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