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Security markets : stochastic models

Author: Darrell Duffie
Publisher: Boston : Academic Press, ©1988.
Series: Economic theory, econometrics, and mathematical economics.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This is an introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting.

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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Darrell Duffie
ISBN: 012223345X 9780122233456
OCLC Number: 17209521
Notes: Includes indexes.
Description: xx, 358 pages : illustrations ; 24 cm.
Contents: Machine derived contents note: Table of contents for Security markets : stochastic models / Darrell Duffie. --
Bibliographic record and links to related information available from the Library of Congress catalog --
Information from electronic data provided by the publisher. May be incomplete or contain other coding. --
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. --
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. --
Discrete-Time Asset Pricing: --
Markov Processes and Markov Asset Valuation. --
Discrete-Time Markov Control. --
Discrete-Time Equilibrium Pricing. --
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. --
Library of Congress subject headings for this publication.
Series Title: Economic theory, econometrics, and mathematical economics.
Responsibility: Darrell Duffie.
More information:

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"Contains extensive and very valuable references to both the mathematical and the financial economics literature. It will be (in fact, it already is) the main reference in the area of dynamic, Read more...

 
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