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Dynamic Asset Pricing Theory is a textbook 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, singleagent 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 continuoustime models. For simplicity, all continuoustime models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options. Numerical methods covered include Monte Carlo simulation and finitedifference solvers for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature.This second edition is substantially longer, while still retaining the conciseness for which the first edition was praised. All chapters from the first edition have been revised. Two new chapters have been added on term structure modeling and on derivative securities. References have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains the definitive textbook in the field.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer,
birth defects, or other reproductive harm.
Dynamic Asset Pricing Theory, Second Edition is a fantastic book for understanding modern pricing strategies. The explanations are clear, and the examples provided make complex concepts much more digestible. I bought it for my finance class, and my professor appreciates the depth it covers.
M
Maya Chen
Great resource for pricing strategies
Dynamic Asset Pricing Theory, Second Edition is a fantastic book for understanding modern pricing strategies. The explanations are clear, and the examples provided make complex concepts much more digestible. I bought it for my finance class, and my professor appreciates the depth it covers.
R
Ravi Patel
Excellent reference for graduate students
As a graduate student, Dynamic Asset Pricing Theory, Second Edition has been an invaluable resource. The advanced theories are laid out well, making it easier to grasp complex ideas. Highly useful for anyone serious about finance or economics!
R
Ravi Patel
Excellent reference for graduate students
As a graduate student, Dynamic Asset Pricing Theory, Second Edition has been an invaluable resource. The advanced theories are laid out well, making it easier to grasp complex ideas. Highly useful for anyone serious about finance or economics!
E
Elena Rodriguez
Not what I expected
I was looking for a more practical guide on asset pricing, but this book dives deep into theory. It’s well-written, but just not what I needed right now. I guess it’s great for academics, but make sure you know what you’re getting into before you buy.
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⚠️ California Proposition 65 Warning: Some products sold on this website may expose you to chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm. For more information, visit www.P65Warnings.ca.gov.
