PDF Ebook Dynamic Asset Pricing Theory, Third Edition.
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Dynamic Asset Pricing Theory, Third Edition.
PDF Ebook Dynamic Asset Pricing Theory, Third Edition.
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This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text 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. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
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Product details
Series: Princeton Series in Finance
Hardcover: 472 pages
Publisher: Princeton University Press; 3 edition (November 1, 2001)
Language: English
ISBN-10: 069109022X
ISBN-13: 978-0691090221
Product Dimensions:
6.3 x 1.4 x 9.4 inches
Shipping Weight: 1.8 pounds (View shipping rates and policies)
Average Customer Review:
3.3 out of 5 stars
10 customer reviews
Amazon Best Sellers Rank:
#1,020,008 in Books (See Top 100 in Books)
The mathematics of finance is not trivial, but neither is it really all that difficult; nevertheless, Duffie works to make you think that it is.I maintain a scale of good versus bad mathematics writing in my head, against which I calibrate books I read. This scale stretches from, at one end, the faculty of Moscow University, in particular Israel Gelfand, Vladimir Arnold and Andre Kolmogorov, all of whom manage to explain to me hard things so that they seem easy, to, at the other, Darrell Duffie.
longer than expected delivery and there is no available tracking information, but the book is really of good quality and brand new
the book is great but the copy I got is not new although the seller claims it to be brand-new. Actually copy I got is not-for-sale test sample. Feel unhappy about this, other than that, I like the book.
Duffie's book has been around for 20 years at this point. It is an absolute classic, born from the author's phd course at Stanford. It is concise. It is rigorous. It is not for the faint of heart.The comment "disorganized" is precisely the comment I get from my own undergrads when they don't understand something. It's nonsense. This book is supremely well organized. It is not for poets, however. You'll need to know some math, including a solid foundation in stochastic processes and Ito calculus.
The Kindle version of this book is of extremely poor quality. It looks like trash.In 2013, paying customers who fork over $60 (USD) for the electronic version of this book deserve more than a crappy HTML-ized version of the printed text where the equations do not scale properly or even line up with the baseline of surrounding text.By flipping through the free sample provided above and comparing it with a copy of the print edition, one can quickly assess just how badly the publisher has wrecked the typesetting of the formulas by converting the text from native PDF to their own proprietary Kindle format. Only certain formats (PDF being foremost among them) can faithfully preserve all of the elegance and beauty that mathematical typesetting systems like LaTeX provide.By refusing to purchase the electronic version, customers can send a strong message to the publisher that they will not accept an inferior product in order to accommodate their desire for digital rights management.The "Kindle Replica" format is a potential solution to this problem as the latter is nothing more than a DRM-wrapped version of PDF.Question to the publisher: why are you not offering a Kindle Replica version of this text, because if you did, I would purchase it immediately.
This book provides the most elegant and coherent synthesis of finance theory, in a complete markets and frictionless settings.For the reader interested in the theoretical foundations of modern financial models, this book has three main advantages over many of its competitors:- It clearly shows the link between modern finance theory and the 40-year old Arrow-Debreu model. As this book will make clear, financial assets can be viewed as "bundles" of Arrow-Debreu contingent goods, and pricing kernels are simply extensions of Arrow-Debreu contingent state prices.- It bridges the gap between arbitrage models on one hand, and models based on consumption, optimization/dynamic programming and general equilibrium on the other hand. Absence of arbitrage guarantees the existence of a stochastic discount factor, or pricing kernel. Optimality implies that the stochastic discount factor must be equal to the investors' intertemporal marginal rate of substitution.- It provides a unified treatment of discrete-time and continuous-time models. Many finance textbooks focus on the mathematic tools and emphasize the difference between continuous-time and discrete-time tools--usually at the expense of the economics underlying both types of models. In contrast Duffie's book emphasizes the conceptual unity between continuous-time and discrete-time asset pricing.This book was written more for students and academics than for pratictioners. It is not a reference or a recipe book for traders and programmers. Several chapters are devoted to general-equilibrium models that pratictioners are not likely to find useful. However, the essentials of derivative asset pricing and the term structure are also covered. The latest edition even includes a chapter on corporate finance.Finally, this book is pretty much self-contained. All the graduate-level math results used in the proofs are presented either in the main body of the book, or in appendices.
Probably the best book in the subject. Clear explanations, nothing left to the imagination. Explains thoroughly both discrete and dynamic Asset Pricing Models, and even goes down to the practical numerical methods used in asset pricing. Excellent book.
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