ISBN 13 : 978-1-55786-945-6

Sommaire : Contents

Preface
Acknowledgments

1 Single Period Securities Markets
1.1 Model Specifications
1.2 Arbitrage and Other Economic Considerations
1.3 Risk Neutral Probability Measures
1.4 Valuation of Contingent Claims
1.5 Complete and Incomplete Markets
1.6 Risk and Return

2 Single Period Consumption and Investment
2.1 Optimal Portfolios and Viability
2.2 Risk Neutral Computational Approach
2.3 Consumption Investment Problems
2.4 Mean-Variance Portfolio Analysis
2.5 Portfolio Management with Short Sales Restrictions and Similar Constraints
2.6 Optimal Portfolios in Incomplete Markets
2.7 Equilibrium Models

3 Multiperiod Securities Markets
3.1 Model Specifications, Filtrations, and Stochastic Processes
3.2 Return and Dividend Processes
3.3 Conditional Expectation and Martingales
3.4 Economic Considerations
3.5 The Binomial Model
3.6 Markov Models

4 Options, Futures, and Other Derivatives
4.1 Contingent Claims
4.2 European Options Under the Binomial Model
4.3 American Options
4.4 Complete and Incomplete Markets
4.5 Forward Prices and Cash Stream Valuation
4.6 Futures

5 Optimal Consumption and Investment Problems
5.1 Optimal Portfolios and Dynamic Programming
5.2 Optimal Portfolios and Martingale Methods
5.3 Consumption-Investment and Dynamic Programming
5.4 Consumption-Investment and Martingale Methods
5.5 Maximum Utility from Consumption and Terminal Wealth
5.6 Optimal Portfolios with Constraints
5.7 Optimal Consumption-Investment with
Constraints
5.8 Portfolio Optimization in Incomplete
Markets

6 Bonds and Interest Rate Derivatives
6.1 The Basic Term Structure Model
6.2 Lattice, Markov Chain Models
6.3 Yield Curve Models
6.4 Forward Risk Adjusted Probability Measures
6.5 Coupon Bonds and Bond Options
6.6 Swaps and Swaptions
6.7 Caps and Floors
7 Models with Infinite Sample Spaces
7.1 Finite Horizon Models
7.2 Infinite Horizon Models
Appendix: Linear Programming
Bibliography
Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Etat : Présent

Propriétaire : Bibliothèque