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Asset Pricing

-Discrete Time Approach-

  • Book
  • © 2003

Overview

Authors:
  1. Takeaki Kariya

    1. Kyoto University, Japan

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    You can also search for this author in PubMed   Google Scholar

  2. Regina Y. Liu

    1. Rutgers University, USA

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Table of contents (14 chapters)

  1. Front Matter

    Pages i-viii
    Download chapter PDF

  2. Introduction

    • Takeaki Kariya, Regina Y. Liu
    Pages 1-7

  3. Options, Futures and Other Derivatives

    • Takeaki Kariya, Regina Y. Liu
    Pages 9-26

  4. Basic Probability Theory

    • Takeaki Kariya, Regina Y. Liu
    Pages 27-42

  5. Pricing Models for Financial Assets

    • Takeaki Kariya, Regina Y. Liu
    Pages 43-63

  6. General No-Arbitrage Asset Price Theory

    • Takeaki Kariya, Regina Y. Liu
    Pages 65-95

  7. Model Specifications in Applications

    • Takeaki Kariya, Regina Y. Liu
    Pages 97-109

  8. Valuation of Derivatives Via Monte Carlo Methods

    • Takeaki Kariya, Regina Y. Liu
    Pages 111-137

  9. Stock Option Theory and Its Applications

    • Takeaki Kariya, Regina Y. Liu
    Pages 139-165

  10. Currency Options

    • Takeaki Kariya, Regina Y. Liu
    Pages 167-180

  11. The Term Structure of Spot Rates

    • Takeaki Kariya, Regina Y. Liu
    Pages 181-199

  12. The HJM Model for Bonds and Its Applications

    • Takeaki Kariya, Regina Y. Liu
    Pages 201-227

  13. Pricing Defaultable Bonds

    • Takeaki Kariya, Regina Y. Liu
    Pages 229-237

  14. Valuation of Certificate of Deposit (CD) With Transfer Option

    • Takeaki Kariya, Regina Y. Liu
    Pages 239-249

  15. Pricing Mortgage-Backed Securities

    • Takeaki Kariya, Regina Y. Liu
    Pages 251-268

  16. Back Matter

    Pages 269-275
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Keywords

About this book

1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli­ cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi­ ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac­ cepted principle that financial asset prices are instantly adjusted at each mo­ ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur­ ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.

Authors and Affiliations

  • Kyoto University, Japan

    Takeaki Kariya

  • Rutgers University, USA

    Regina Y. Liu

Bibliographic Information

  • Book Title: Asset Pricing

  • Book Subtitle: -Discrete Time Approach-

  • Authors: Takeaki Kariya, Regina Y. Liu

  • DOI: https://doi.org/10.1007/978-1-4419-9230-7

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media New York 2003

  • Hardcover ISBN: 978-1-4020-7243-7Published: 31 October 2002

  • Softcover ISBN: 978-1-4613-4849-8Published: 13 October 2012

  • eBook ISBN: 978-1-4419-9230-7Published: 27 June 2011

  • Edition Number: 1

  • Number of Pages: VIII, 275

  • Topics: Finance, general, Accounting/Auditing

  • Industry Sectors: Biotechnology, Finance, Business & Banking

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