| Record ID | marc_columbia/Columbia-extract-20221130-005.mrc:210846212:2951 |
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LEADER: 02951fam a2200373 a 4500
001 2155576
005 20220615215642.0
008 950616t19961996njua b 001 0 eng
010 $a 95032122
020 $a0691021252 (cl : alk. paper)
035 $a(OCoLC)32779773
035 $a(OCoLC)ocm32779773
035 $9ANL9916CU
035 $a(NNC)2155576
035 $a2155576
040 $aDLC$cDLC$dDLC$dOrLoB-B
050 00 $aHG4637$b.D84 1996
082 00 $a332.6$220
100 1 $aDuffie, Darrell.$0http://id.loc.gov/authorities/names/n87927736
245 10 $aDynamic asset pricing theory /$cDarrell Duffie.
250 $a2nd ed.
260 $aPrinceton, N.J. :$bPrinceton University Press,$c[1996], ©1996.
300 $axvii, 395 pages :$billustrations ;$c24 cm
336 $atext$btxt$2rdacontent
337 $aunmediated$bn$2rdamedia
504 $aIncludes bibliographical references (p. 311-369) and indexes.
505 00 $g1.$tAn Introduction to State Pricing --$g2.$tThe Basic Multiperiod Model --$g3.$tThe Dynamic Programming Approach --$g4.$tThe Infinite-Horizon Setting --$g5.$tThe Black-Scholes Model --$g6.$tState Prices and Equivalent Martingale Measures --$g7.$tTerm-Structure Models --$g8.$tDerivative Assets --$g9.$tOptimal Portfolio and Consumption Choice --$g10.$tEquilibrium --$g11.$tNumerical Methods --$tApp. A Probability - The Finite-State Case --$tApp. B Separating Hyperplanes and Optimality --$tApp. C Probability - The General Case --$tApp. D Stochastic Integration --$tApp. E SDEs, PDEs, and the Feynman-Kac Formula --$tApp. F Calculation of Utility Gradients --$tApp. G Finite Difference Computer Code.
520 $aDynamic Asset Pricing Theory is a textbook 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.
520 8 $aTechnicalities 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. For simplicity, all continuous-time models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options.
520 8 $aNumerical methods covered include Monte Carlo simulation and finite-difference solvers for partial differential equations.
650 0 $aCapital assets pricing model.$0http://id.loc.gov/authorities/subjects/sh85019932
650 0 $aPortfolio management.$0http://id.loc.gov/authorities/subjects/sh85105080
650 0 $aUncertainty.$0http://id.loc.gov/authorities/subjects/sh85139563
852 00 $bsci$hHG4637$i.D84 1996