【图文经典】Dynamic Asset Pricing Theory金融经济学 昨天 Author(s): Duffie D. Year: 1999
Description Dynamic 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. 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. 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. Numerical methods covered include Monte Carlo simulation and finite-difference solvers for partial differential equations.
About the author Duffie D. James Darrell Duffie (born May 23, 1954) is a Canadian financial economist, is Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business.
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