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Preface | ||
Acknowledgments | ||
1 | Single Period Securities Markets | 1 |
1.1 | Model Specifications | 1 |
1.2 | Arbitrage and Other Economic Considerations | 4 |
1.3 | Risk Neutral Probability Measures | 11 |
1.4 | Valuation of Contingent Claims | 16 |
1.5 | Complete and Incomplete Markets | 21 |
1.6 | Risk and Return | 28 |
2 | Single Period Consumption and Investment | 33 |
2.1 | Optimal Portfolios and Viability | 33 |
2.2 | Risk Neutral Computational Approach | 37 |
2.3 | Consumption Investment Problems | 40 |
2.4 | Mean-Variance Portfolio Analysis | 47 |
2.5 | Portfolio Management with Short Sales Restrictions and Similar Constraints | 52 |
2.6 | Optimal Portfolios in Incomplete Markets | 58 |
2.7 | Equilibrium Models | 64 |
3 | Multiperiod Securities Markets | 72 |
3.1 | Model Specifications, Filtrations, and Stochastic Processes | 72 |
3.2 | Return and Dividend Processes | 84 |
3.3 | Conditional Expectation and Martingales | 88 |
3.4 | Economic Considerations | 92 |
3.5 | The Binomial Model | 100 |
3.6 | Markov Models | 106 |
4 | Options, Futures, and Other Derivatives | 112 |
4.1 | Contingent Claims | 112 |
4.2 | European Options Under the Binomial Model | 120 |
4.3 | American Options | 124 |
4.4 | Complete and Incomplete Markets | 133 |
4.5 | Forward Prices and Cash Stream Valuation | 136 |
4.6 | Futures | 140 |
5 | Optimal Consumption and Investment Problems | 149 |
5.1 | Optimal Portfolios and Dynamic Programming | 149 |
5.2 | Optimal Portfolios and Martingale Methods | 156 |
5.3 | Consumption-Investment and Dynamic Programming | 162 |
5.4 | Consumption-Investment and Martingale Methods | 168 |
5.5 | Maximum Utility from Consumption and Terminal Wealth | 173 |
5.6 | Optimal Portfolios with Constraints | 178 |
5.7 | Optimal Consumption-Investment with Constraints | 184 |
5.8 | Portfolio Optimization in Incomplete Markets | 193 |
6 | Bonds and Interest Rate Derivatives | 200 |
6.1 | The Basic Term Structure Model | 200 |
6.2 | Lattice, Markov Chain Models | 208 |
6.3 | Yield Curve Models | 217 |
6.4 | Forward Risk Adjusted Probability Measures | 222 |
6.5 | Coupon Bonds and Bond Options | 227 |
6.6 | Swaps and Swaptions | 229 |
6.7 | Caps and Floors | 234 |
7 | Models with Infinite Sample Spaces | 238 |
7.1 | Finite Horizon Models | 238 |
7.2 | Infinite Horizon Models | 243 |
Appendix: Linear Programming | 250 | |
Bibliography | 254 | |
Index | 257 |
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Add Introduction to Mathematical F, The purpose of this book is to provide a rigorous yet accessible introduction to the modern financial theory of security markets. The main subjects are derivatives and portfolio management. The book is intended to be used as a text by advanced undergradua, Introduction to Mathematical F to the inventory that you are selling on WonderClubX
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Add Introduction to Mathematical F, The purpose of this book is to provide a rigorous yet accessible introduction to the modern financial theory of security markets. The main subjects are derivatives and portfolio management. The book is intended to be used as a text by advanced undergradua, Introduction to Mathematical F to your collection on WonderClub |