ISBN-10:
0199271445
ISBN-13:
9780199271443
Pub. Date:
04/07/2005
Publisher:
Oxford University Press
Asset Pricing in Discrete Time: A Complete Markets Approach / Edition 1

Asset Pricing in Discrete Time: A Complete Markets Approach / Edition 1

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Product Details

ISBN-13: 9780199271443
Publisher: Oxford University Press
Publication date: 04/07/2005
Series: Oxford Finance Series
Edition description: New Edition
Pages: 152
Product dimensions: 8.60(w) x 5.50(h) x 0.70(d)

About the Author

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.

Table of Contents

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 & the LIBOR Market Model
Conclusions
Index

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