Books : Dynamic Asset Pricing Theory, Third Edition.
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by: Darrell Duffie
List Price: $100.00Amazon.com's Price: $80.00 You Save: $20.00 (20%)Prices subject to change. Availability: Usually ships in 24 hours
Binding: Hardcover
Dewey Decimal Number: 332.6
EAN: 9780691090221
ISBN: 069109022X
Label: Princeton University Press
Manufacturer: Princeton University Press
Number Of Items: 1
Number Of Pages: 472
Publication Date: November 01, 2001
Publisher: Princeton University Press
Sales Rank: 215318
Studio: Princeton University Press
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Editorial Review:
Product Description:
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models.
Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Customer Reviews
Average Rating: 
Rating:  - painful and obscure
The mathematics of finance is not trivial, but neither is it really all that difficult; nevertheless, Duffie works to make you think that it is.
I maintain a scale of good versus bad mathematics writing in my head, against which I calibrate books I read. This scale stretches from, at one end, the faculty of Moscow University, in particular Israel Gelfand, Vladimir Arnold and Andre Kolmogorov, all of whom manage to explain to me hard things so that they seem easy, to, at the other, Darrell ... Read More
Rating:  - Finance for economists
This book provides the most elegant and coherent synthesis of finance theory, in a complete markets and frictionless settings.
For the reader interested in the theoretical foundations of modern financial models, this book has three main advantages over many of its competitors:
- It clearly shows the link between modern finance theory and the 40-year old Arrow-Debreu model. As this book will make clear, financial assets can be viewed as "bundles" of Arrow-Debreu contingent goods, ... Read More
Rating: - Demanding but rewarding!
First of all, this book is for people with advanced mathematical preparation. Courses in functional analysis, measure theory, stochastic calculus and vector space optimization are in my opinion required for a deep understanding of the material in the book. Fortunately, the appendices are very good and provide many things that can help someone to follow the book.
In the first four chapters the writer develops the discrete-time theory,in order to provide a better understanding of the underlying ideas which ... Read More
Rating: - best intro of finance for math guys
I am taking a phd level course which uses this book. For math guys, SDE and MG theory covered in this book are fine, but it is still somekind of tricky to fill in some details of proof. As author said, the latter chapters are just repeating the first two chapters in a fancy math way. It is better to understand the first two chapters very well and then go further. For optimal portfolio and consumption part, I prefer Merton's notes and his CTF. Whatever, this book is great and very neat for integrating the whole ... Read More
Rating: - A tricky book
This book, whilst being very impressive i didn't really find helpful as a learning tool. A good knowledge of the subject is required otherwise it is almost impossible to follow.
I'm studying a masters in finance, and would say it goes well beyond what we need to know for such a course. Maybe maths & finance students would cover things in this.
I am amazed that people actually use such a comllicated book in practice!!
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