{"product_id":"huang-poon-ser-asset-pricing-in-discrete-time-9780199271443","title":"Asset Pricing in Discrete Time","description":"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.\n\u003cbr\u003e\n\u003cbr\u003e\n-- 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.\n\u003cbr\u003e\n\u003cbr\u003e\n-- 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.\n\u003cbr\u003e\n\u003cbr\u003e\n-- 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.\n\u003cbr\u003e\n\u003cbr\u003e\n-- 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.\n\u003cbr\u003e\n\u003cbr\u003e\n-- Expands the treatment of asset pricing to a multi-period economy, deriving prices in a rational expectations equilibrium.\n\u003cbr\u003e\n\u003cbr\u003e\n-- Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives.\n\u003cbr\u003e\n\u003cbr\u003e\n-- 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.\n\u003cbr\u003e","brand":"OUP Oxford","offers":[{"title":"Default Title","offer_id":53768319336790,"sku":null,"price":0.0,"currency_code":"EUR","in_stock":false}],"url":"https:\/\/www.momoxbooks.com\/products\/huang-poon-ser-asset-pricing-in-discrete-time-9780199271443","provider":"momoxbooks","version":"1.0","type":"link"}