| Asset Pricing: -Discrete Time Approach- 2003 Edition Contributor(s): Kariya, T. (Author), Liu, Regina (Author) |
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ISBN: 1402072430 ISBN-13: 9781402072437 Publisher: Springer OUR PRICE: $104.49 Product Type: Hardcover - Other Formats Published: October 2002 Annotation: 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 Asset Pricing -Discrete Time Approach- is to provide a systematic exposition, with practical applications, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. Useful as a textbook on financial asset pricing, this book will also appeal 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. |
| Additional Information |
| BISAC Categories: - Business & Economics | Investments & Securities - General - Business & Economics | Accounting - General - Business & Economics | Economics - General |
| Dewey: 332.632 |
| LCCN: 2002034051 |
| Physical Information: 0.83" H x 6.34" W x 9.46" (1.30 lbs) 275 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |
