ISBN 13 : 978-0195380613

Sommaire :
Preface

Part I. Single-Period Models
1. Utility Functions and Risk Aversion Coefficients
2. Portfolio Choice and Stochastic Discount Factors
3. Equilibrium and Efficiency
4. Arbitrage and Stochastic Discount Factors
5. Mean-Variance Analysis
6. Beta Pricing Models
7. Representative Investors

Part II. Dynamic Models
8. Dynamic Securities Markets
9. Portfolio Choice by Dynamic Programming
10. Conditional Beta Pricing Models
11. Some Dynamic Equilibrium Models
12. Brownian Motion and Stochastic Calculus
13. Continuous-Time Securities Markets and SDF Processes
14. Continuous-Time Portfolio Choice and Beta Pricing

Part III. Derivative Securities
15. Option Pricing
16. Forwards, Futures, and More Option Pricing
17. Term Structure Models

Part IV. Topics
18. Heterogeneous Priors
19. Asymmetric Information
20. Alternative Preferences in Single-Period Models
21. Alternative Preferences in Dynamic Models
22. Production Models

Appendices
Notes
References
Index

Langue : Anglais

Collection : FINANCIAL MANAGEMENT ASSOCIATION SURVEY AND SYNTHESIS SERIES

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque