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Dynamic Asset Pricing Theory (Provisional Manuscript)

by Darell Duffie of Graduate School of Business, Stanford University.

Prilimilary Incomplete Draft, Oct,1999.

Contents

1 Introduction to State Pricing

2 The Basic Multiperiod Model

3 The Dynamic Programming Approach

4 The Infinite-Horizon Setting

5 The Black-Scholes Model

6 State Prices and Equivalent Martingale Measures

7 Term-Structure Models

8 Derivative Pricing

9 Portfolio and Comsumption Choice

Totally 324 Pages.