Lien ebook : https://link-springer-com.ezproxy.univ-catholille.fr/book/10...

ISBN 13 : 978-3-540-43403-8

Sommaire : Contents

1. The Discrete Case
1.1 A Model with Two Dates and Two States of the World
1.2 A One-Period Model with (d + 1) Assets and k States of the World
1.3 Optimal Consumption and Portfolio Choice in a One-Agent Model

2. Dynamic Models in Discrete Time
2.1 A Model with a Finite Horizon
2.2 Arbitrage with a Finite Horizon
2.3 Trees
2.4 Complete Markets with a Finite Horizon
2.4.1 Characterization
2.5 Valuation
2.6 An Example
2.7 Maximization of the Final Wealth
2.8 Optimal Choice of Consumption and Portfolio
2.9 Infinite Horizon

3. The Black-Scholes Formula
3.1 Stochastic Calculus
3.2 Arbitrage and Valuation
3.3 The Black-Scholes Formula: the One-Dimensional Case
3.4 Extension of the Black-Scholes Formula

4. Portfolios Optimizing Wealth and Consumption
4.1 The Model
4.2 Optimization
4.3 Solution in the Case of Constant Coefficients
4.4 Admissible Strategies
4.5 Existence of an Optimal Pair
4.6 Solution in the Case of Deterministic Coefficients
4.7 Market Completeness and NAO

5. The Yield Curve
5.1 Discrete-Time Model
5.2 Continuous-Time Model
5.3 The Heath-Jarrow-Morton Model
5.4 When the Spot Rate is Given
5.5 The Vasicek Model
5.6 The Cox-Ingersoll-Ross Model

6. Equilibrium of Financial Markets in Discrete Time
6.1 Equilibrium in a Static Exchange Economy
6.2 The Demand Approach
6.3 The Negishi Method
6.4 The Theory of Contingent Markets
6.5 The Arrow-Radner Equilibrium Exchange Economy with Financial Markets with Two Dates
6.6 The Complete Markets Case
6.7 The Incomplete Markets Case
6.8 The CAPM

7. Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case
7.1 The Model
7.2 Existence of a Contingent Arrow-Debreu Equilibrium
7.3 Applications

8. Incomplete Markets
8.1 Incomplete Markets
8.2 Stochastic Volatility
8.3 Wealth Optimization

9. Exotic Options
9.1 The Hitting Time and Supremum for Brownian Motion
9.2 Drifted Brownian Motion
9.3 Barrier Options
9.4 Double Barriers
9.5 Lookback Options
9.6 Other Options
9.7 Other Products

A. Brownian Motion
A.1 Historical Background
A.2 Intuition
A.3 Random Walk
A.4 The Stochastic Integral
A.5 Itô's Formula
B. Numerical Methods
B.1 Finite Difference
B.2 Extrapolation Methods
B.3 Simulation

References
Index

Langue : Anglais

Collection : SPRINGER FINANCE

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque