Dynamic Asset Pricing Theory, Third Edition. (Princeton Series in Finance) Kindle Edition

3.3 out of 5 stars 9 customer reviews
ISBN-13: 978-0691090221
ISBN-10: 069109022X
Why is ISBN important?
ISBN
This bar-code number lets you verify that you're getting exactly the right version or edition of a book. The 13-digit and 10-digit formats both work.
Scan an ISBN with your phone
Use the Amazon App to scan ISBNs and compare prices.
Kindle App Ad
Rent On clicking this link, a new layer will be open
$30.62 On clicking this link, a new layer will be open
Buy On clicking this link, a new layer will be open
$87.75 On clicking this link, a new layer will be open
Rent from
Price
New from Used from
Kindle, October 1, 2001
"Please retry"
$87.75
click to open popover

Enter your mobile number below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
Getting the download link through email is temporarily not available. Please check back later.

  • Apple
  • Android
  • Windows Phone
  • Android

To get the free app, enter your mobile phone number.


Editorial Reviews

Review

"This is an important addition to the set of text/reference books on asset pricing theory. It will, if it has not already, become the standard text for the second Ph.D. course in security markets. Its treatment of contingent claim valuation, in particular, is unrivaled in its breadth and coherence."--Journal of Economic Literature

About the Author

Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University's Graduate School of Business. His books include "How Big Banks Fail and What to Do about It" and "Dynamic Asset Pricing Theory" (both Princeton).

Product Details

  • File Size: 10121 KB
  • Print Length: 487 pages
  • Page Numbers Source ISBN: 069109022X
  • Publisher: Princeton University Press; Third edition (October 1, 2001)
  • Publication Date: October 1, 2001
  • Sold by: Amazon Digital Services LLC
  • Language: English
  • ASIN: B0042JTB7I
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Not Enabled
  • Lending: Not Enabled
  • Enhanced Typesetting: Enabled
  • Amazon Best Sellers Rank: #338,178 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
  •  Would you like to give feedback on images or tell us about a lower price?

Customer Reviews

Top Customer Reviews

By Jean Salvati on April 27, 2005
Format: Hardcover
This book provides the most elegant and coherent synthesis of finance theory, in a complete markets and frictionless settings.

For the reader interested in the theoretical foundations of modern financial models, this book has three main advantages over many of its competitors:

- It clearly shows the link between modern finance theory and the 40-year old Arrow-Debreu model. As this book will make clear, financial assets can be viewed as "bundles" of Arrow-Debreu contingent goods, and pricing kernels are simply extensions of Arrow-Debreu contingent state prices.

- It bridges the gap between arbitrage models on one hand, and models based on consumption, optimization/dynamic programming and general equilibrium on the other hand. Absence of arbitrage guarantees the existence of a stochastic discount factor, or pricing kernel. Optimality implies that the stochastic discount factor must be equal to the investors' intertemporal marginal rate of substitution.

- It provides a unified treatment of discrete-time and continuous-time models. Many finance textbooks focus on the mathematic tools and emphasize the difference between continuous-time and discrete-time tools--usually at the expense of the economics underlying both types of models. In contrast Duffie's book emphasizes the conceptual unity between continuous-time and discrete-time asset pricing.

This book was written more for students and academics than for pratictioners. It is not a reference or a recipe book for traders and programmers. Several chapters are devoted to general-equilibrium models that pratictioners are not likely to find useful. However, the essentials of derivative asset pricing and the term structure are also covered.
Read more ›
Comment 29 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
By A Customer on September 30, 2003
Format: Hardcover
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.
Comment 20 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover Verified Purchase
The mathematics of finance is not trivial, but neither is it really all that difficult; nevertheless, Duffie works to make you think that it is.

I maintain a scale of good versus bad mathematics writing in my head, against which I calibrate books I read. This scale stretches from, at one end, the faculty of Moscow University, in particular Israel Gelfand, Vladimir Arnold and Andre Kolmogorov, all of whom manage to explain to me hard things so that they seem easy, to, at the other, Darrell Duffie.
2 Comments 50 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover
This book is at best useful as a reference book but even that is doubtful.

If you are new to the subject you will find it very hard to follow. Concepts are often defined purely in math terms with intuition given very sparsely if at all. Proofs are very terse (read incomplete) because everything "is easy to show" and annoyingly often, results are simply stated with the derivation "left as an exercise" leaving me wondering why Duffie uses precious space for those pointless remarks instead of actually explaining the material.

If, on the other hand, you already know the material the book might be useful as a reference due to its tersenes. However, I don't see why someone would bother to get used to new notation when they already know the material from somewhere else.

As another reviewer already stated, math requirements are quite high: real analysis, stochastic calculus, and measure theory at least and here again I doubt that someone might find the appendices helpful if they don't know the material already from somewhere else.

Also, I agree with someone else's comment that while finance can be tough, it is definitely not as tough as Duffie makes it to be. Of course there is always a trade-off between generality and presenting concepts in an easy way but just because something can be done with complex numbers does not mean that it has to.
Comment 4 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover
The Kindle version of this book is of extremely poor quality. It looks like trash.

In 2013, paying customers who fork over $60 (USD) for the electronic version of this book deserve more than a crappy HTML-ized version of the printed text where the equations do not scale properly or even line up with the baseline of surrounding text.

By flipping through the free sample provided above and comparing it with a copy of the print edition, one can quickly assess just how badly the publisher has wrecked the typesetting of the formulas by converting the text from native PDF to their own proprietary Kindle format. Only certain formats (PDF being foremost among them) can faithfully preserve all of the elegance and beauty that mathematical typesetting systems like LaTeX provide.

By refusing to purchase the electronic version, customers can send a strong message to the publisher that they will not accept an inferior product in order to accommodate their desire for digital rights management.

The "Kindle Replica" format is a potential solution to this problem as the latter is nothing more than a DRM-wrapped version of PDF.

Question to the publisher: why are you not offering a Kindle Replica version of this text, because if you did, I would purchase it immediately.
1 Comment 3 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse

Set up an Amazon Giveaway

Dynamic Asset Pricing Theory, Third Edition. (Princeton Series in Finance)
Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. Learn more about Amazon Giveaway
This item: Dynamic Asset Pricing Theory, Third Edition. (Princeton Series in Finance)