{"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\n\u003cbr\u003eModel.-- 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\n\u003cbr\u003ekernel.-- 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\n\u003cbr\u003enon-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\n\u003cbr\u003eeconomy, 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":"Oxford University Press","offers":[{"title":"Default Title","offer_id":44059062042862,"sku":"9780199271443","price":195.55,"currency_code":"AUD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0630\/9612\/7726\/files\/9780199271443.jpg?v=1706205829","url":"https:\/\/bookland.com.au\/products\/asset-pricing-in-discrete-time","provider":"Book Land AU","version":"1.0","type":"link"}