Security markets : stochastic models
Author(s)
Bibliographic Information
Security markets : stochastic models
（Economic theory, econometrics, and mathematical economics）
Academic Press, c1988
Available at / 72 libraries
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
332.63-68081000078332
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Note
Bibliography: p. 323-344
Includes indexes
Description and Table of Contents
Description
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.
Table of Contents
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.
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