Commentaire :

Sommaire : I.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.

II.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.

III.Discrete-Time Asset Pricing

Markov Processes and Markov Asset Valuation.
Discrete-Time Markov Control.
Discrete-Time Equilibrium Pricing.

IV.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.

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque