Asset Pricing: -Discrete Time Approach-

✍ Scribed by Takeaki Kariya, Regina Y. Liu (auth.)

• Publisher: Springer US
• Year: 2003
• Tongue: English
• Leaves: 272
• Edition: 1
• Category: Library

✦ Synopsis

1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli­ cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi­ ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac­ cepted principle that financial asset prices are instantly adjusted at each mo­ ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur­ ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.

✦ Table of Contents

Front Matter....Pages i-viii
Introduction....Pages 1-7
Options, Futures and Other Derivatives....Pages 9-26
Basic Probability Theory....Pages 27-42
Pricing Models for Financial Assets....Pages 43-63
General No-Arbitrage Asset Price Theory....Pages 65-95
Model Specifications in Applications....Pages 97-109
Valuation of Derivatives Via Monte Carlo Methods....Pages 111-137
Stock Option Theory and Its Applications....Pages 139-165
Currency Options....Pages 167-180
The Term Structure of Spot Rates....Pages 181-199
The HJM Model for Bonds and Its Applications....Pages 201-227
Pricing Defaultable Bonds....Pages 229-237
Valuation of Certificate of Deposit (CD) With Transfer Option....Pages 239-249
Pricing Mortgage-Backed Securities....Pages 251-268
Back Matter....Pages 269-275

✦ Subjects

Finance/Investment/Banking; Accounting/Auditing