Dynamic Asset Pricing Theory, Third Edition.
| Author | : | |
| Rating | : | 4.43 (713 Votes) |
| Asin | : | 069109022X |
| Format Type | : | paperback |
| Number of Pages | : | 472 Pages |
| Publish Date | : | 2017-03-18 |
| Language | : | English |
DESCRIPTION:
Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business, Stanford University. . His other books include Security Markets: Stochastic Models and Futures Markets. He teaches and does research in the area of asset valuation, risk management, credit risk modeling, and fixed-income and equity markets
It will, if it has not already, become the standard text for the second Ph.D. Its treatment of contingent claim valuation, in particular, is unrivaled in its breadth and coherence."--Journal of Economic Literature. "This is an important addition to the set of text/reference books on asset pricing theory. course in security markets
"painful and obscure" according to S. Matthews. The mathematics of finance is not trivial, but neither is it really all that difficult; nevertheless, Duffie works to make you think that it is.I maintain a scale of good versus bad mathematics writing in my head, against which I calibrate books I read. This scale stretches from, at one end, the faculty of Moscow University, in particular Israel Gelfand, Vladimir Arnold and Andre Kolmogorov, all of whom manage to explain to me hard things so that they seem easy, to, at the other, Darrell Duffie.. but the book is really of good quality and brand longer than expected delivery and there is no available tracking information, but the book is really of good quality and brand new. book is great but the copy is not H. Mo the book is great but the copy I got is not new although the seller claims it to be brand-new. Actually copy I got is not-for-sale test sample. Feel unhappy about this, other than that, I like the book.
The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. And references have been updated throughout. Each chapter provides extensive problem exercises and notes to the literature. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Applications include term-structure models, derivative valuation, and hedging methods. 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. 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. A system of appendixes reviews the necessary mathematical concepts. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.. Technicalities are given relati