Articoli correlati a Security Markets: Stochastic Models

Security Markets: Stochastic Models - Rilegato

Duffie, Darrell

 
9780122233456: Security Markets: Stochastic Models
Rilegato
ISBN 10: 012223345X ISBN 13: 9780122233456
Casa editrice: Emerald Group Pub Ltd, 1988

Sinossi

This is a graduate level work covering the economic principles of security markets. Interested readers include students and researchers in economics and finance, as well as financial analysts following the latest theoretical developments in capital asset pricing.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Recensione

"Contains extensive and very valuable references to both the mathematical and the financial economics literature. It will be (in fact, it already is) the main reference in the area of dynamic, competitive securities markets models with systematic information."
--MATHEMATICAL REVIEWS
"This is a high-level introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting. The intent is to provide a unified general equilibrium framework for such recent advances in finance as:
the Sharpe-Litner Capital Asset Pricing Model and its discrete and continuous time analogues due to Lucas, Merton, and Breden the Black-Scholes Option Pricing Formula and its extensions into Martingale theory by Harrison and Kreps the continuous-time portfolio control models of Merton the term structure theory of Cox, Ingersoll, and Ross.

Contenuti

Static Market Concepts:
The Geometry of Choices and Prices.
Preferences.
Market Equilibrium.
First Probability Concepts.
Expected Utility.
Special Choice Spaces.
Portfolios.
Optimization Principles.
Second Probability Concepts.
Risk Aversion.
Equilibrium in Static Markets under Uncertainty.
Stochastic Economies:
Event Tree Economies.
A Dynamic Theory of the Firm.
Stochastic Processes.
Stochastic Integrals and Gains from Security Trade.
Stochastic Equilibria.
Transformations to Martingale Gains From Trade.
Discrete-Time Asset Pricing:
Markov Processes and Markov Asset Valuation.
Discrete-Time Markov Control.
Discrete-Time Equilibrium Pricing.
Continuous-Time Asset Pricing:
An Overview of the Ito Calculus.
The Black--Scholes Model of Security Valuation.
An Introduction to the Control of Ito Processes.
Consumption and Portfolio Demand with I.I.D.
Returns.
Continuous-Time Equilibrium Asset Pricing.
Bibliography.
Index.
Glossary.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Emerald Group Pub Ltd
Data di pubblicazione
1988
Lingua
Inglese
ISBN 10 
012223345X
ISBN 13 
9780122233456
Rilegatura
Copertina rigida
Numero di pagine
380
Contatto del produttore
non disponibile
Persona responsabile
non disponibile