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.
發表於2024-12-22
Dynamic Asset Pricing Theory, Third Edition. 2024 pdf epub mobi 電子書 下載
這是一本懂的人不需要看,不懂的人永遠看不懂的書。既缺乏數學上的嚴格性,又缺乏經濟金融理論的啓發性。實在想象不齣這算得上一本“書”,也許它就是Duffie的課程講義的閤印本,隻有通過課堂補充大量的書外內容纔能算得上一本self-contained的教材。Anyway,如果這也算書的話...
評分這是一本懂的人不需要看,不懂的人永遠看不懂的書。既缺乏數學上的嚴格性,又缺乏經濟金融理論的啓發性。實在想象不齣這算得上一本“書”,也許它就是Duffie的課程講義的閤印本,隻有通過課堂補充大量的書外內容纔能算得上一本self-contained的教材。Anyway,如果這也算書的話...
評分我一直在想像Duffie是這樣寫這本書的:他先用鉛筆寫好一段完整的證明,然後用橡皮把中間的語句擦掉,隻留下第一句話和最後一句話。臨近畢業的時候,左右無事,拿起來每天看看,讀瞭一半,書本上用筆填滿證明,後來答辯畢業工作,再也沒有興趣揀起來讀瞭,因為覺得耗費精力去讀...
評分這是一本懂的人不需要看,不懂的人永遠看不懂的書。既缺乏數學上的嚴格性,又缺乏經濟金融理論的啓發性。實在想象不齣這算得上一本“書”,也許它就是Duffie的課程講義的閤印本,隻有通過課堂補充大量的書外內容纔能算得上一本self-contained的教材。Anyway,如果這也算書的話...
評分我一直在想像Duffie是這樣寫這本書的:他先用鉛筆寫好一段完整的證明,然後用橡皮把中間的語句擦掉,隻留下第一句話和最後一句話。臨近畢業的時候,左右無事,拿起來每天看看,讀瞭一半,書本上用筆填滿證明,後來答辯畢業工作,再也沒有興趣揀起來讀瞭,因為覺得耗費精力去讀...
圖書標籤: 金融 Finance 資産定價 經濟學 金融工程 金融學-金融數學 Economics 金融學
一覽眾山小
評分Masterpiece
評分晦澀難讀,不適閤當教材用。
評分如果不是Mr. Fat Tail在上課的時候一邊講解一邊闆書,我是完全看不懂這本書的。。
評分寫的真爛,這樣也能齣版
Dynamic Asset Pricing Theory, Third Edition. 2024 pdf epub mobi 電子書 下載