Amazon Kindleでは、
Asset Pricing in Discrete Time
をはじめとする200万冊以上の本をご利用いただけます。 詳細はこちら
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商品の説明
内容紹介
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.
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.
著者について
Dick Stapleton, one of the most senior finance academics in Europe, has held senior posts at the Universities of Strathclyde, Lancaster, and Cambridge, and Manchester Business School. He is also a Professorial Fellow at the University of Melbourne, Australia. He has researched in many areas of finance including asset pricing and interest rate derivatives and has published extensively in all top ranking finance and economic journals. Ser-Huang Poon is known for her work in modelling and forecasting financial market volatility, and more recently the applications of extreme values theories in finance. She has published work on both areas in leading journals in finance and economics.
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By Taejun
形式:ハードカバー
Pricing Kernelを用いて、アセットプライシングを包括的にまとめている本なのですが、まだ論文レベルでしか紹介がされていない内容をふんだんに織り込んでいるため、コンパクトながらも非常に読み応えのある本でした。ペーパーを書く時にお世話になりました。
認識する効用関数の違いによる、オプションのプライシング誤差に関する証明は、非常にエレガントです。 この部分だけでも読んでみることをお勧めします。
ただし、誤字脱字、たまに壊れている導出など、問題点が少々あります…
認識する効用関数の違いによる、オプションのプライシング誤差に関する証明は、非常にエレガントです。 この部分だけでも読んでみることをお勧めします。
ただし、誤字脱字、たまに壊れている導出など、問題点が少々あります…
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5つ星のうち 1.0
Not a good choice.
2006/3/25
By Chris
- (Amazon.com)
形式:ハードカバー
While the description sounds intersting, the book turns out to be a horrible read. Not only do most sections read like a rough set of lecture notes, they are also quite often poorly structured. Most importantly, the authors seem to be confused about simple concepts from mathematics and probability (like differentiability of functions and properties of expectations of random variables).
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