Pub. Date:
Emerald Group Publishing Limited
Security Markets: Stochastic Models

Security Markets: Stochastic Models

by Darrell Duffie
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Product Details

ISBN-13: 9780122233456
Publisher: Emerald Group Publishing Limited
Publication date: 07/28/1988
Series: Economic Theory, Econometrics, and Mathematical Economics
Edition description: New Edition
Pages: 250
Product dimensions: 6.00(w) x 9.00(h) x 1.00(d)

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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