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Title: Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie ISBN: 0-691-09022-X Publisher: Princeton Univ Pr Pub. Date: 01 November, 2001 Format: Hardcover Volumes: 1 List Price(USD): $80.00 |
Average Customer Rating: 4.33 (6 reviews)
Rating: 5
Summary: Demanding but rewarding!
Comment: First of all, this book is for people with advanced mathematical preparation. Courses in functional analysis, measure theory, stochastic calculus and vector space optimization are in my opinion required for a deep understanding of the material in the book. Fortunately, the appendices are very good and provide many things that can help someone to follow the book.
In the first four chapters the writer develops the discrete-time theory,in order to provide a better understanding of the underlying ideas which remain the same in the next chapters which deal with the continuous-time setting.
Although the book needs a lot of effort from the reader, it is unique in that can help you see beyond the mathematics. In other words it USES the mathematics and it isn't just a layout of theorems and proofs.
Of course it can't be compared with books like Hull as it isn't accessible to everyone. But someone with the mathematical preparation , who has read Hull , should buy this book and he will never regret it.
Rating: 4
Summary: Pricing for Traditional Products
Comment: This is a good book for traditional products, but doesn't stay ahead of the curve for people who need to keep up with current capital markets products. Still, the basic tools are there for those who already understand the products.
In the exponentially growing credit derivatives market, the market appears very inefficient. Information on documentation and pricing is not at all transparent, and information requires time and work to obtain. This was a nothing market 6 years ago, was a $2 trillion market in 2002, and is on a steep exponential growth curve just in credit default swaps. In a paradigm shift, it has become a very important product in a very short time, and the market in these products is inefficient. For product and performance descriptions I highly recommend Tavakoli's book: "Credit Derivatives" Second Edition.
Rating: 5
Summary: best intro of finance for math guys
Comment: I am taking a phd level course which uses this book. For math guys, SDE and MG theory covered in this book are fine, but it is still somekind of tricky to fill in some details of proof. As author said, the latter chapters are just repeating the first two chapters in a fancy math way. It is better to understand the first two chapters very well and then go further. For optimal portfolio and consumption part, I prefer Merton's notes and his CTF. Whatever, this book is great and very neat for integrating the whole theory.
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Title: The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Andrew Y. Lo, Archie Craig MacKinlay ISBN: 0691043019 Publisher: Princeton Univ Pr Pub. Date: 09 December, 1996 List Price(USD): $85.00 |
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Title: Asset Pricing by John H. Cochrane ISBN: 0691074984 Publisher: Princeton Univ Pr Pub. Date: 01 January, 2001 List Price(USD): $75.00 |
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Title: Continuous-Time Finance by Robert C. Merton ISBN: 0631185089 Publisher: Blackwell Publishers Pub. Date: June, 1992 List Price(USD): $51.95 |
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Title: Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, Vol 113) by Ioannis Karatzas, Steven E. Shreve, Steven E. Shreve ISBN: 0387976558 Publisher: Springer Verlag Pub. Date: 20 June, 1997 List Price(USD): $59.95 |
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Title: Options, Futures, and Other Derivatives (5th Edition) by John C. Hull ISBN: 0130090565 Publisher: Prentice Hall Pub. Date: 03 July, 2002 List Price(USD): $146.00 |
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