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Asset Pricing in Discrete Time – A Complete Markets Approach - Oxford Scholarship Online
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Asset Pricing in Discrete Time: A Complete Markets Approach

Ser-Huang Poon and Richard Stapleton


Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance. Topics covered include CAPM, non-marketable background risks, European-style contingent claims as in Black–Scholes and in cases where risk-neutral valuation relationship does not exist, multi-period asset pricing under rational expectations, forward and futures contracts on assets and derivatives, and bond pricing under stochastic interest rates. ... More

Keywords: Black-Scholes, bond pricing, CAPM, complete markets framework, discrete time, constant or declining elasticity, Libor market model, multi-period asset pricing, non-marketable background risks, rational expectations

Bibliographic Information

Print publication date: 2005 Print ISBN-13: 9780199271443
Published to Oxford Scholarship Online: July 2005 DOI:10.1093/0199271445.001.0001


Affiliations are at time of print publication.

Ser-Huang Poon, author
University of Manchester
Author Webpage

Richard Stapleton, author
University of Manchester
Author Webpage