Asset Pricing in Discrete Time: A Complete Markets Approach

by Ser-Huang Poon

This book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It relies heavily on the existence, in a complete market, of a pricing kernel. It is primarily aimed at advanced Masters and PhD students in finance. Topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes and in cases where risk neutral valuation relationship does not exist, multi-period...

• Format: Hardcover
• Language: English
• ISBN: 0199271445
• ISBN13: 9780199271443
• Release Date: April 2005
• Publisher: Oxford University Press, USA
• Length: 152 Pages
• Weight: 0.70 lbs.
• Dimensions: 0.6" x 6.5" x 8.7"