动态资产价格理论

出版时间：2007-1  出版社：北京世图  作者：Darrell duffie  页数：465  
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内容概要

本书为Duffie 教授著名的《动态资产定价理论》第3版，与前二版相比，本版主要增加的内容是第11章公司证券，即将公司的股权融资、债券融资、违约、破产等结合在一起来考虑定价。　　Duffie的书一直是一本风格比较独特的书籍，吸引了众多的读者试图去读懂和征服它。本版的风格仍然与前二版相同，即用数学模型来处理金融问题，这样做的优点是可以获得较为深刻的理论结果，它的起始读者群定位于金融专业的博士研究生。

书籍目录

PrefacePART Ⅰ DISCRETE-TIME MODELS　1　Introduction to State Pricing　　A Arbitrage and State Prices　　B Risk-Neutral Probabilities　　C Optimality and Asset Pricing　　D Efficiency and Complete Markets　　E Optimality and Representative Agents　　F State-Price Beta Models　　Exercises　　Notes　2  The Basic Multiperiod Model　　A Uncertainty　　B Security Markets　　C Arbitrage, State Prices, and Martingales　　D Individual Agent Optimality　　E Equilibrium and Pareto Optimality.　　F Equilibrium Asset Pricing　　G Arbitrage and Martingale Measures　　H Valuation of Redundant Securities　　I  American Exercise Policies and Valuation 　　j  is Early Exercise Optimal?      Exercises　　Notes　3  The Dynamic Programming Approach 　　A The Bellman Approach　　B First-Order Bellman Conditions  　  C Markov Uncertainty　  D Markov Asset Pricing  　E Security Pricing by Markov Control  　  F Markov Arbitrage-Free Valuation 　  G Early Exercise and Optimal Stopping    Exercises    Notes　4　The Infinite-Horizon Setting　　A Markov Dynamic Programming　　B Dynamic Programming and Equilibrium　　C Arbitrage and State Prices　　D Optimality and State Prices　　E Method-of-Moments Estimation　　Exercises　  NotesPART Ⅱ CONTINUOUS-TIME MODELS　5  The Black-Scholes Model　　A Trading Gains for Brownian Prices  　B Martingale Trading Gains    C Ito Prices and Gains　  D Ito's Formula  　E The Black-Scholes Option-Pricing Formula　　F Black-Scholes Formula: First Try 　　G The PDE for Arbitrage-Free Prices　　H The Feynman-Kac Solution　　I  The Multidimensional Case　　Exercises　　Notes　6　State Prices and Equivalent Martingale Measures 　　A Arbitrage　　B Numeraire Invariance　　C State Prices and Doubling Strategies　　D Expected Rates of Return……7　Term-Structure Models8  Derivative Pricing9  Portfolio and Consumption Choice10  Equilibrium11  Comrporate Securities12  Numerical MethodsAPPENDIXES