Asset Pricing in Discrete Time A Complete Markets Approach [Hardcover]

This book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It relies heavily on the existence, in a complete market, of a pricing kernel. It is primarily aimed at advanced Masters and PhD students in finance. Topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes and in cases where risk neutral valuation relationship does not exist, multi-period asset pricing under rational expectations, forward and futures contracts on assets and derivatives, and bond pricing under stochastic interest rates. All the proofs, including a discrete time proof of the Libor market model, are shown explicitly.

1. Asset Prices in a Single-Period Model
2. Risk Aversion, Background Risk and the Pricing Kernel
3. Option Pricing in a Single-Period Model
4. Valuation of Contingent Claims: Extensions
5. Multi-period Asset Pricing
6. Forward and Futures Prices of Contingent Claims
7. Bond Pricing, Interest-Rate Processes & the LIBOR Market Model
Conclusions
Index

Dick Stapleton, one of the most senior finance academics in Europe, has held senior posts at the Universities of Strathclyde, Lancaster, and Cambridge, and Manchester Business School. He is also a Professorial Fellow at the University of Melbourne, Australia. He has researched in many areas of finance including asset pricing and interest rate derivatives and has published extensively in all top ranking finance and economic journals.Ser-Huang Poonis known for her work in modelling and forecasting financial market volatility, and more recently the applications of extreme values theories in finance. She has published work on both areas in leading journals in finance and economics.