Dynamic Asset Pricing Theory

By Darrell Duffie | Go to book overview

Author Index
Aase, 232, 257
Abel, 79
Abken, 290
Acharya, 80, 289
Adams, 166
Adler, 233
Ahn, 133, 233
Aït-Sahalia, 165, 197
Ait-Sahlia, 199, 319
Aiyagari, 80
Akahari, 200
Akian, 234
Aliprantis, 255
Allegretto, 199
Allingham, 18
Alvarez, 233, 234
Amaro de Matos, 199
Amendinger, 132, 234
Amin, 165, 197, 198, 317, 319
Andersen, 162, 165, 197, 198, 200, 201, 318
Anderson, 289
Andreasen, 100, 162, 165, 198, 200, 318, 319
Ansel, 132, 233
Antonelli, 234
Apelfeld, 162
Araujo, 19, 79, 255
Arntzen, 234
Arrow, 17, 18
Artzner, 131, 133, 162, 166, 290
Arvantis, 290
Assaf, 234
Au, 164
Avellaneda, 133, 196, 234, 317, 318
Babbs, 133, 164, 166
Back, 132, 133, 166, 232, 233, 234, 256, 257
Backus, 165, 166
Bajeux-Besnainou, 47, 162, 233, 257
Bakshi, 198, 200
Balasko, 18
Balduzzi, 163, 166, 234
Ball, 165, 197, 199
Bally, 233, 318
Bank, 233
Banz, 132
Barberis, 80
Barles, 197, 199, 200, 233, 319
Barndorff-Nielsen, 199
Barone, 166
Barone-Adesi, 199
Barraquand, 318, 319
Basak, 257
Bates, 198, 199
Baxter, 164
Baz, 165
Beaglehole, 163, 319
Becker, 78
Beckers, 197
Beibel, 199
Bellman, 63
Beltratti, 79
Bensoussan, 46, 199, 232, 291
Benth, 232
Benveniste, 63, 78
Benzoni, 198
Berardi, 163
Bergman, 133, 198, 200, 233
Berk, 18, 19, 47
Bernard, 318
Bertola, 166
Bertsekas, 63, 78
Bertsimas, 317
Bewley, 79, 255
Bhar, 164

-447-

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Dynamic Asset Pricing Theory
Table of contents

Table of contents

  • Title Page iii
  • Contents vii
  • Preface xiii
  • I - Discrete-Time Models 1
  • 1 - Introduction to State Pricing 3
  • 2 - The Basic Multiperiod Model 21
  • 3 - The Dynamic Programming Approach 49
  • 4 - The Infinite-Horizon Setting 65
  • II - Continuous-Time Models 81
  • 5 - The Black-Scholes Model 83
  • 6 - State Prices and Equivalent Martingale Measures 101
  • 7 - Term-Structure Models 135
  • 8 - Derivative Pricing 167
  • 9 - Portfolio and Consumption Choice 203
  • 10 - Equilibrium 235
  • 11 - Corporate Securities 259
  • 12 - Numerical Methods 293
  • Appendixes 321
  • Bibliography 373
  • Symbol Glossary 445
  • Author Index 447
  • Subject Index 457
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