Dynamic Asset Pricing Theory (Third Edition) (Third Edition)

Author: Darrell Duffie
Publisher:
Publish Date: 2004-05-01
Features: Dynamic Asset Pricing Theory elaborates on the main ideas and research methods of asset pricing theory, with a broad scope and profound content. It particularly provides extensive references, exerting significant influence abroad. For domestic researchers aspiring to enter the field of asset pricing and conduct research, this book will offer great assistance and hold considerable reference value. With the continuous reform and alignment of China's securities market with international standardized markets, as well as the gradual opening of China's financial market and its integration into the global financial market following its WTO accession, the number of scholars and practitioners in China interested in dynamic asset pricing has been rapidly increasing. As a result, this discipline is also poised to enter a period of vigorous development in China. The main content of the book is divided into two parts, comprising 12 chapters. Additionally, to facilitate readers' comprehension, the author has provided 10 appendices. Furthermore, to aid in reference, the author has included a wealth of reference materials, a name (name comparison table), and a terminology (terminology comparison table). The 10 appendices in the book. Additionally, to assist readers in their studies, the author has provided mathematical background knowledge, primarily related to probability theory and stochastic processes. The main content's part consists of 4 chapters, all of which discuss asset pricing problems under discrete time and discrete state (space). Chapter 1 introduces the basic single-period asset pricing theory model. Chapter 2 extends the content of Chapter 1 to a multi-period setting. Chapter 3 elaborates on the dynamic programming framework under Markovian scenarios, as presented in Chapter 2, with the famous Ho-Lee model and the Black-Derman-Tohr term structure model included as exercises in this chapter. Chapter 4 extends the content of Chapter 3 to an infinite-horizon framework, known as the Lucas model.