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Dynamic asset pricing theory / Darrell Duffie.

By: Material type: TextTextLanguage: English Publication details: Princeton : Princeton University Press, 1996.Edition: Second editionDescription: xvii , 395 páginas ; tablas, gráficas ; 24 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 0691021252
Subject(s): DDC classification:
  • 332.6  D83d 21
Other classification:
  • P22
Contents:
Part I: Discrete-time models: 1. An introduction to state pricing ; 2. The basic Multiperiod model ; 3. The dynamic programming approach ; 4. The infinite-horizon setting -- Part II: Continuous-time models: 5. The black-Scholes model ; 6. State prices and equivalent martingale measures ; 7. Term-Structure models ; 8. Derivative assets ; 9. Optimal portfolio and consumption choice ; 10. Equilibrium ; 11. Numerical methods -- Appendixes. A Probability - The Finite-State Case ; B. Separating Hyperplanes and Optimality ; C. Probability - The General Case ; D. Stochastic Integration ; E. SDEs, PDEs, and the Feynman-Kac Formula ; F. Calculation of Utility Gradients ; G. Finite Difference Computer Code.
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Holdings
Item type Home library Call number Status Notes Date due Barcode Item holds
LIBRO FISICO Biblioteca Principal 332.6 D83d (Browse shelf(Opens below)) Available Mantener en colección. 29004018990878
Total holds: 0

Incluye referencias bibliográficas (páginas 311-369) e índice.

Part I: Discrete-time models: 1. An introduction to state pricing ; 2. The basic Multiperiod model ; 3. The dynamic programming approach ; 4. The infinite-horizon setting -- Part II: Continuous-time models: 5. The black-Scholes model ; 6. State prices and equivalent martingale measures ; 7. Term-Structure models ; 8. Derivative assets ; 9. Optimal portfolio and consumption choice ; 10. Equilibrium ; 11. Numerical methods -- Appendixes. A Probability - The Finite-State Case ; B. Separating Hyperplanes and Optimality ; C. Probability - The General Case ; D. Stochastic Integration ; E. SDEs, PDEs, and the Feynman-Kac Formula ; F. Calculation of Utility Gradients ; G. Finite Difference Computer Code.

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