ISBN 13 : 978-0-691-09022-1

Contents : Contents

PART I - Discrete-time models
1. Introduction to State Pricing
2. The Basic Multiperiod Model
3 The Dynamic Programming Approach
4. The Infinite-Horizon Setting

PART II - Continuous-time models
5. The Black-Scholes Model
6. State Prices and Equivalent Martingale Measures
7. Term-Structure Models
8. Derivative Pricing
9. Portfolio and Consumption Choice
10. Equilibrium
11. Corporate Securities
12. Numerical Methods

APPENDIXES
A. Finite-State Probability
B. Separating Hyperplanes and Optimality
C. Probability
D. Stochastic Integration
E. SDE, PDE, and Feynman-Kac
F. Ito's Formula with jumps
G. Utility Gradients
H. Ito's Formula for Complex Functions
I. Counting Processes
J. Finite-Difference Code

Language : English

Print : 3ème

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque