As noted earlier, the papers by merton 1969, 1971, 1973b. The emphasis is put on dynamic asset pricing models that are built on continuoustime stochastic processes. James darrell duffie born may 23, 1954 is a canadian financial economist, is dean witter distinguished professor of finance at stanford graduate school of business he is the author of numerous research articles, and several books including futures markets, dynamic asset pricing theory, andwith kenneth singletoncredit risk duffie has been on the finance faculty at stanford since 1984. Chance, tn9604 modeling asset prices as stochastic processes i 7 duffie, d. This is a thoroughly updated edition of dynamic asset pricing theory, the standard text for doctoral. Roll, richard 1976, a critique of asset pricing theorys tests.
But avoid asking for help, clarification, or responding to other answers. Dynamic asset pricing theory is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. This is a thoroughly updated edition of dynamic asset pricing theory, the standard text. References financial risk management wiley online library. Use the link below to share a fulltext version of this article with your friends and colleagues. Arbitrage pricing theory is completed by equilibrium models which provide useful. Research publications implementing arrowdebreu equilibria by continuous trading of few longlived securities, with chifu huang,econometrica, vol. This is a thoroughly updated edition of dynamic asset pricing theory, the. In a continuoustime setting, the implications of recursive utility for asset pricing are simpler than is the case in discretetime, as is amply demon strated in duffie and epstein 1991. Econ 659 michael magill usc dana and david dornsife.
Chance, tn9604 modeling asset prices as stochastic processes i 6 6 this type of process is also sometimes called a lognormal diffusion process. Modeling term structures of defaultable bond yields, with darrell duffie. An introduction to asset pricing theory junhui qian. Lochstoer page 5 required reading although you do not need to follow in detail all of the math in the. Dynamic asset pricing theory provisional manuscript. 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. This book is an introduction to the theory of portfolio choice and asset pricing in multiperiod settings under uncertainty.
Asset pricing, general equilibrium, and investments market fragmentation, with daniel chen, working paper, graduate school of business, stanford university, february, 2020. Each chapter provides extensive problem exercises and notes to the literature. Darrell duffie stanford graduate school of business. Dynamic asset pricing theory, second edn, princeton unversity press, princeton, new jersey. An earlier version received the nasdaq omx award for best paper on asset pricing at the 2015 wfa meeting. Liquidity risk and arbitrage pricing theory lse statistics. Pricing, measurement, and management by darrell duffie and kenneth.
D m chance tn96 04 modeling asset prices as stochastic. The model of anderson and sundaresan 1996 captures. Transform analysis and asset pricing for affine jump. Duffie dynamic asset pricing theory free ebook download as pdf file. The decline of too big to fail, with antje berndt and yichao zhu, working paper, australia national university, december, 2019.
Lochstoer page 2 duffie, darrell, 2001, dynamic asset pricing theory, 3rd edition, princeton, nj. Markets asset pricing dynamic allocation and pricing. Meanvariance portfolio theory, dynamic asset pricing theory. Darrell duffie, chapter 11 intertemporal asset pricing theory, financial markets and asset pricing, 10. Dynamic asset pricing theory with uncertain timehorizon july 2004 christophette blanchetscalliet. Third edition princeton series in finance third by duffie, darrell isbn. The society for financial studies bu personal websites. An alternate title might be arbitrage, optimality, and equilibrium, because the book is built around the three basic constraints on asset prices. Intertemporal asset pricing theory darrell duffie stanford university contents abstract 641 keywords 641 1 introduction 642 2 basic theory 642 2. Magill excel or pdf files to be posted on blackboard. The first three provide background on asset pricing and credit risk while the last book is a standard references for econometrics. Singleton page 6 equilibrium asset prices and savings of heterogeneous agents in the presence of portfolio constraints, macroeconomic dynamics, 3, 1999, 243277. Dynamic asset pricing theory is a textbook for doctoral students and researchers on the theory of asset pricing.
Epstein university of toronto asset pricing theory is presented with represen tativeagent utility given by a stochastic differen tialformulation of recursive utility. Conditions of use privacy notice interestbased ads. Dynamic asset pricing theory with uncertain timehorizon. Notice this week schedule is representative of the whole semester. Asset pricing with heterogeneous consumers with george constan tinides, journal of political economy, vol. A term structure model with preferences for the timing of. 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. Asset pricing with stochastic differential utility darrell duffie stanford university larry g. This set the stage for his 1973 general equilibrium model of security prices, another milestone. Augmenting markets with mechanisms with sam antill, working paper, graduate school of.
Costis skiadas develops in depth the fundamentals of arbitrage pricing, meanvariance analysis, equilibrium pricing, and optimal consumptionportfolio choice in discrete settings, but with emphasis. Anil k kashyap, darrell duffie, matthew j slaughter, martin n baily, douglas w diamond, john y campbell, david s scharfstein, raghuram g rajan, hyun song shin, robert j shiller, john h. Asset pricing theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Dynamic asset pricing theory stanford graduate school of. Preface this note introduces asset pricing theory to ph. You do not really understand something unless you can explain it to your grandmother. The theory of asset pricing in multiperiod settings under uncertainty is now relatively well. With this new edition, dynamic asset pricing theory remains at the head of the field. Thanks for contributing an answer to quantitative finance stack exchange. Darrell duffie, graduate school of business, stanford. Darrell duffie is the the adams distinguished professor of management and professor of finance at stanford graduate school of business. Dynamic asset pricing theory dapt and macroeconomia. Absence of arbitrage and partial equilibrium asset pricing theory. Duffie, dynamic asset pricing theory, 3rd edition, princeton, 2001.
The asset pricing results are based on the three increasingly restrictive assumptions. A mechanism design approach arne ryde memorial lectures graphic artists guild handbook of pricing and ethical guidelines graphic. Uvadare digital academic repository estimation and. Asset pricing and portfolio choice theory second edition. The cost of capital for financial firms cambridge core. Calculus, linear algebra, probability and statistics. A course in deterministic models mathematical programming. The cost of capital for financial firms volume 12 issue 1 c.
He is a fellow and member of the council of the econometric society, a research fellow of the national bureau of economic research, a fellow of the american academy of arts and sciences. Dynamic asset pricing theory princeton university press. Estimation of dynamic term structure models, quarterly journal of finance 2, 2012, 151. In the second half of the semester, we consider extensions of these basic models in a variety of new directions. Dynamic asset pricing theory, 2nd edition, princeton, nj, princeton. Notes and references 175 part two dynamic models 8. These results are unified with two key concepts, state prices and. Ieor 4706 financial engineering i columbia university. Dynamic asset pricing theory, third edition pdf free download. Hammond, affine models of the joint dynamics of exchange rates and interest rates, ssrn electronic journal, 10.
588 148 249 40 1561 1387 872 1146 308 869 944 1359 770 871 70 715 362 1127 664 1420 678 498 436 1435 710 778 1060 341 443 266 730