Buch, Englisch, 472 Seiten, Format (B × H): 165 mm x 240 mm, Gewicht: 833 g
Reihe: Princeton Series in Finance
Third Edition
Buch, Englisch, 472 Seiten, Format (B × H): 165 mm x 240 mm, Gewicht: 833 g
Reihe: Princeton Series in Finance
ISBN: 978-0-691-09022-1
Verlag: Princeton University Press
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. 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 edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. 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. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Preface xiii
PART I DISCRETE-TIME MODELS 1
1. Introduction to State Pricing 3
A. Arbitrage and State Prices 3
B. Risk-Neutral Probabilities 4
C. Optimality and Asset Pricing 5
D. Efficiency and Complete Markets 8
E. Optimality and Representative Agents 8
F. State-Price Beta Models 11
Exercises 12
Notes 17
2. The Basic Multiperiod Model 21
A. Uncertainty 21 B Security Markets 22
C. Arbitrage, State Prices, and Martingales 22
D. Individual Agent Optimality 24
E. Equilibrium and Pareto Optimality 26
F. Equilibrium Asset Pricing 27
G. Arbitrage and Martingale Measures 28
H. Valuation of Redundant Securities 30
I. American Exercise Policies and Valuation 31
J. Is Early Exercise Optimal? 35
Exercises 37
Notes 45
3 The Dynamic Programming Approach 49
A. The Bellman Approach 49
B. First-Order Bellman Conditions 50
C. Markov Uncertainty.51
D. Markov Asset Pricing 52
E. Security Pricing by Markov Control 52
F. Markov Arbitrage-Free Valuation 55
G Early Exercise and Optimal Stopping 56
Exercises 58
Notes 63
4. The Infinite-Horizon Setting 65
A. Markov Dynamic Programming.65
B. Dynamic Programming and Equilibrium.69
C. Arbitrage and State Prices 70
D. Optimality and State Prices.71
E. Method-of-Moments Estimation.73
Exercises 76
Notes 78
PART 11 CONTINUOUS-TIME MODELS 81
5. The Black-Scholes Model 83
A. Trading Gains for Brownian Prices 83
B. Martingale Trading Gains 85
C. Ito Prices and Gains 86
D. Ito's Formula 87
E. The Black-Scholes Option-Pricing Formula 88
F. Black-Scholes Formula: First Try 90
G. The PDE for Arbitrage-Free Prices 92
H. The Feynman-Kac Solution 93
I. The Multidimensional Case 94
Exercises 97
Notes 100
6. State Prices and Equivalent Martingale Measures 101
A. Arbitrage 101
B. Numeraire Invariance 102
C. State Prices and Doubling Strategies 103
D. Expected Rates of Return 106
E. Equivalent Martingale Measures 108
F. State Prices and Martingale Measures 110
G. Girsanov and Market Prices of Risk 111
H. Black-Scholes Again 115
I. Complete Markets 116
J. Redundant Security Pricing 119
K. Martingale Measures from No Arbitrage 120
L. Arbitrage Pricing with Dividends 123
M. Lumpy Dividends and Term Structures 125
N. Martingale Measures, Infinite Horizon 127
Exercises 128
Notes 131
7. Term-Structure Models 135
A. The Term Structure 136
B. One-Factor Term-Structure Models 137
C. The Gaussian Single-Factor Models 139
D. The Cox-Ingersoll-Ross Model 141
E. The Affine Single-Factor Models 142
F. Term-Structure Derivatives 144
G. The Fundamental Solution 146
H. Multifactor Models 148
1. Affine Term-Structure Models 149
J. The HJM Model of Forward Rates 151
K. Markovian Yield Curves and SPDEs 154
Exercises 155
Notes 161
8. Derivative Pricing 167
A. Martingale Measures in a Black Box 167
B. Forward Prices 169
C. Futures and Continuous Resettlement 171
D. Arbitrage-Free Futures Prices 172
E. Stochastic Volatility 174
F. Option Valuation by Transform Analysis 178
G. American Security Valuation 182
H. American Exercise Boundaries 186
1. Lookback Options 189
Exercises 191
Notes 196
9. Portfolio and Consumption Choice 203
A. Stochastic Control 203
B. Merton's Problem 206
C. Solution to Merton's Problem 209
D. The Infinite-Horizon Case 213
E. The Martingale Formulation 214
F. Martingale Solution 217
G. A Generalization 220
H. The Utility-Gradient Approach 221
Exercises 224
Notes 232
10. Equilibrium 235
A. The Primitives 235
B. Security-Spot Market Equilibrium 236
C. Arrow-Debreu Equilibrium 237
D. Implementing Arrow-Debreu Equilibrium 238
E. Real Security Prices 240
F. Optimality with Additive Utility 241
G. Equilibrium with Additive Utility 243
H. The Consumption-Based CAPM 245
I. The CIR T
