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Asset Pricing in Discrete Time - A Complete Markets Approach (Hardcover)
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Asset Pricing in Discrete Time - A Complete Markets Approach (Hardcover)
Series: Oxford Finance Series
Expected to ship within 12 - 17 working days
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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.
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