Asset Pricing in Discrete Time: A Complete Markets Approach (BOK)

Ser-Huang Poon, Richard Stapleton

649,00 64900
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Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance. - Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset Pricing Model. - Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricing kernel. - Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price. - Extends the analysis to contingent claims on assets with non-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist. - Expands the treatment of asset pricing to a multi-period economy, deriving prices in a rational expectations equilibrium. - Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives. - Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2005 Forfatter Richard Stapleton, Ser-Huang Poon
Forlag
Oxford University Press
ISBN 9780199271443
Antall sider 152 Dimensjoner 14,5cm x 22,3cm x 1,5cm
Vekt 358 gram Leverandør Bertram Trading Ltd
Emner og form Investment & securities