{"product_id":"asset-pricing-in-discrete-time","title":"Asset Pricing in Discrete Time","description":"\u003cp\u003eRelying 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.\u003c\/p\u003e","brand":"Ser-Huang Poon","offers":[{"title":"Default Title","offer_id":43563616010301,"sku":"9780199271443","price":241.0,"currency_code":"AUD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0597\/7689\/2989\/files\/9780199271443.jpg?v=1788440636","url":"https:\/\/www.palmleaf.com.au\/products\/asset-pricing-in-discrete-time","provider":"Palmleaf","version":"1.0","type":"link"}