Security Markets
Stochastic Models
Published on 28. July 1988
Book
Hardback
250 pages
978-0-12-223345-6 (ISBN)
Description
This is a graduate level work covering the economic principles of security markets. Interested readers include students and researchers in economics and finance, as well as financial analysts following the latest theoretical developments in capital asset pricing.
Reviews / Votes
"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, competitive securities markets models with systematic information." --MATHEMATICAL REVIEWS "This is a high-level introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting. The intent is to provide a unified general equilibrium framework for such recent advances in finance as: the Sharpe-Litner Capital Asset Pricing Model and its discrete and continuous time analogues due to Lucas, Merton, and Breden the Black-Scholes Option Pricing Formula and its extensions into Martingale theory by Harrison and Kreps the continuous-time portfolio control models of Merton the term structure theory of Cox, Ingersoll, and Ross.More details
Series
Language
English
Place of publication
United Kingdom
Publishing group
Emerald Publishing Limited
Target group
Professional and scholarly
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 25 mm
Weight
700 gr
ISBN-13
978-0-12-223345-6 (9780122233456)
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Schweitzer Classification
Content
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.