Asset Pricing in Discrete Time

A Complete Markets Approach
Erscheinungsjahr 2005
ISBN: 978-0-19-927144-3
Verlag: OUP Oxford

Buch, Englisch, 152 Seiten, Print PDF, Format (B × H): 145 mm x 222 mm, Gewicht: 334 g

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.

Zielgruppe

Finance teachers and researchers, PhD students and Masters students in finance, practitioners in the finance industry

Autoren/Hrsg.

Poon, Ser-Huang

Stapleton, Richard C

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

- 1: Asset Prices in a Single-Period Model

- 2: Risk Aversion, Background Risk and the Pricing Kernel

- 3: Option Pricing in a Single-Period Model

- 4: Valuation of Contingent Claims: Extensions

- 5: Multi-period Asset Pricing

- 6: Forward and Futures Prices of Contingent Claims

- 7: Bond Pricing, Interest-Rate Processes and the LIBOR Market Model

- Conclusions

- Index

Über Autor(innen)

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.