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Asset Pricing in Discrete Time A Complete Markets Approach

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This book is available in Oxford Scholarship Online - view abstracts and keywords at book and chapter level.

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Asset Pricing in Discrete Time

A Complete Markets Approach

Ser-Huang Poon
Richard Stapleton

Oxford Finance Series

156 pages | 216x138mm

978-0-19-927144-3 | Hardback | 13 January 2005

Price: £44.00

This item is printed to order. Items which are printed to order are normally despatched and charged within 5-10 days.

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Written to be accessible to a wide audience.
Provides a unique discrete time proof for the Libor market model.
Offers important and substantial coverage of derivative securities.

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance.

— Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset Pricing Model.

— Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricing kernel.

— Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price.

— Extends the analysis to contingent claims on assets with non-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist.

— Expands the treatment of asset pricing to a multi-period economy, deriving prices in a rational expectations equilibrium.

— Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives.

— Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model.

Readership: Graduate students, academics, and researchers in finance, and practitioners in the finance industry.

The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Occasionally, due to the nature of some contractual restrictions, we are unable to ship a specific product to a particular territory. Jacket images are provisional and liable to change before publication.

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Asset Pricing in Discrete Time

A Complete Markets Approach

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