Dynamic Asset Pricing Theory, Third Edition.
Author: Darrell Duffie
List Price: $80.00
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ISBN: 069109022X
Publisher: Princeton Univ Pr (01 November, 2001)
Sales Rank: 73,228
Average Customer Rating: 4.33 out of 5
Customer Reviews
Rating: 5 out of 5
Demanding but rewarding!
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 out of 5
Pricing for Traditional Products
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 out of 5
best intro of finance for math guys
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. Similar Products
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