Security Markets

Stochastic Models
Erscheinungsjahr 1988
ISBN: 978-0-12-223345-6
Verlag: Academic Press Inc

Buch, Englisch, 250 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 700 g

Reihe: Economic Theory, Econometrics, and Mathematical Economics

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.

Autoren/Hrsg.

Duffie, Darrell

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Wirtschaftswissenschaften Wirtschaftswissenschaften: Allgemeines
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein

Inhaltsverzeichnis

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.