動態資產價格理論

內容簡介

《動態資產價格理論（第3版）》為Duffie 教授著名的《動態資產定價理論》第3版，與前二版相比，本版主要增加的內容是第11章公司證券，即將公司的股權融資、債券融資、違約、破產等結合在一起來考慮定價。

Duffie的書一直是一本風格比較獨特的書籍，吸引了眾多的讀者試圖去讀懂和征服它。本版的風格仍然與前二版相同，即用數學模型來處理金融問題，這樣做的優點是可以獲得較為深刻的理論結果，它的起始讀者群定位於金融專業的博士研究生。

Preface

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