Dynamic Asset Pricing Theory

By Darrell Duffie | Go to book overview
Contents
Prefacexiii
PART I DISCRETE-TIME MODELS1
1Introduction to State Pricing3
AArbitrage and State Prices3
BRisk-Neutral Probabilities4
COptimality and Asset Pricing5
DEfficiency and Complete Markets8
EOptimality and Representative Agents8
FState-Price Beta Models11
Exercises12
Notes17
2The Basic Multiperiod Model21
AUncertainty21
BSecurity Markets22
CArbitrage, State Prices, and Martingales22
DIndividual Agent Optimality24
EEquilibrium and Pareto Optimality26
FEquilibrium Asset Pricing27
GArbitrage and Martingale Measures28
HValuation of Redundant Securities30
IAmerican Exercise Policies and Valuation31
JIs Early Exercise Optimal?35
Exercises37
Notes45

-vii-

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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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