Dynamic Asset Pricing Theory, Third Edition.
| Author | : | |
| Rating | : | 4.26 (926 Votes) |
| Asin | : | 069109022X |
| Format Type | : | paperback |
| Number of Pages | : | 472 Pages |
| Publish Date | : | 2014-03-11 |
| Language | : | English |
DESCRIPTION:
These results are unified with two key concepts, state prices and martingales. Each chapter provides extensive problem exercises and notes to the literature. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.. And references have been updated throughout. 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.Readers will be particularly intrigued by this latest edit
Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business, Stanford University. He teaches and does research in the area of asset valuation, risk management, credit risk modeling, and fixed-income and equity markets. . His other books include Security Markets: Stochastic M
"This is an important addition to the set of text/reference books on asset pricing theory. course in security 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
"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 who. but the book is really of good quality and brand Amazon Customer 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" according to 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.