Asset Pricing

1. Front Matter

   Pages i-viii

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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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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.

• Arbitrage
• Asset Pricing
• Bonds
• Finance
• Futures
• Options

• Kyoto University, Japan

  Takeaki Kariya

• Rutgers University, USA

  Regina Y. Liu

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