Security Markets: Stochastic Models available in Hardcover
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.
|Publisher:||Emerald Group Publishing Limited|
|Series:||Economic Theory, Econometrics, and Mathematical Economics|
|Edition description:||New Edition|
|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 BlackScholes 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.