Dynamic Asset Pricing Theory 3rd Edition by Darrell Duffie ISBN 9781400829200 1400829208

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ISBN 10:  1400829208
ISBN 13: 9781400829200
Author:  Darrell Duffie

Dynamic Asset Pricing Theory 3rd Table of contents:

 PART 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
Notes
PART 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
E: Equivalent Martingale Measures
F: State Prices and Martingale Measures
G: Girsanovand Market Prices of Risk
H: Black-Scholes Again
I: Complete Markets
J: Redundant Security Pricing
K: Martingale Measures From No Arbitrage
L: Arbitrage Pricing with Dividends
M: Lumpy Dividends and Term Structures
N: Martingale Measures, Infinite Horizon
Exercises
Notes
7 Term-Structure Models
A: The Term Structure
B: One-Factor Term-Structure Models
C: The Gaussian Single-Factor Models
D: The Cox-Ingersoll-Ross Model
E: The Affine Single-Factor Models
F: Term-Structure Derivatives
G: The Fundamental Solution
H: Multifactor Models
I: Affine Term-Structure Models
J: The HJM Model of Forward Rates
K: Markovian Yield Curves and SPDEs
Exercises
Notes
8 Derivative Pricing
A: Martingale Measures in a Black Box
B: Forward Prices
C: Futures and Continuous Resettlement
D: Arbitrage-Free Futures Prices
E: Stochastic Volatility
F: Option Valuation by Transform Analysis
G: American Security Valuation
H: American Exercise Boundaries
I: Lookback Options
Exercises
Notes
9 Portfolio and Consumption Choice
A: Stochastic Control
B: Merton’s Problem
C: Solution to Merton’s Problem
D: The Infinite-Horizon Case
E: The Martingale Formulation
F: Martingale Solution
G: A Generalization
H: The Utility-Gradient Approach
Exercises
Notes
10 Equilibrium
A: The Primitives
B: Security-Spot Market Equilibrium
C: Arrow-Debreu Equilibrium
D: Implementing Arrow-Debreu Equilibrium
E: Real Security Prices
F: Optimality with Additive Utility
G: Equilibrium with Additive Utility
H: The Consumption-Based CAPM
I: The CIR Term Structure
J: The CCAPM in Incomplete Markets
Exercises
Notes
11 Corporate Securities
A: The Black-Scholes-Merton Model
B: Endogenous Default Timing
C: Example: Brownian Dividend Growth
D: Taxes and Bankruptcy Costs
E: Endogenous Capital Structure
F: Technology Choice
G: Other Market Imperfections
H: Intensity-Based Modeling of Default
I: Risk-Neutral Intensity Process
J: Zero-Recovery Bond Pricing
K: Pricing with Recovery at Default
L: Default-Adjusted Short Rate
Exercises
Notes
12 Numerical Methods
A: Central Limit Theorems
B: Binomial to Black-Scholes
C: Binomial Convergence for Unbounded Derivative Payoffs
D: Discretization of Asset Price Processes
E: Monte Carlo Simulation
F: Efficient SDE Simulation
G: Applying Feynman-Kac
H: Finite-Difference Methods
I: Term-Structure Example
J: Finite-Difference Algorithms with Early Exercise Options
K: The Numerical Solution of State Prices
L: Numerical Solution of the Pricing Semi-Group
M: Fitting the Initial Term Structure
Exercises
Notes
APPENDIXES
A: Finite-State Probability
B: Separating Hyperplanes and Optimality
C: Probability
D: Stochastic Integration
E: SDE, PDE, and Feynman-Kac
F: Ito’s Formula with Jumps
G: Utility Gradients
H: Ito’s Formula for Complex Functions
I: Counting Processes
J: Finite-Difference Code
Bibliography
Symbol Glossary

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