图书简介
AssT pricingTheory yields deep insigTs iTo crucial markT phenomena such as Tock markT bubbles. Now in a newly revised and updTed edTion,ThisTeTbook guidesThe readerThroughThisTheory and Ts applicTionsTo markTs.The new edTion feTures ?new resuTs on TTe dependeT preferences, a charaTerizTion of markT efficiency anda more general preseTTion of muTiple-faTor models using onlyThe assumTions of no arbTrage and no dominanceTaking an innovTive approach based on maTingales,The book preseTs advancedTechniques of mThemTical finance in a business and economics coTeT, covering a range of relevaTTopics such as derivTives pricing and hedging, syTemTic risk, poTfolio oTimizTion, markT efficiency, and equilibrium pricing models. For applicTionsTo high dimensional TTiTics and machine learning, new muTi-faTor models are givenThis new edTion iTegrTes suicideTrading TrTegies iToThe underTanding of assT price bubbles, greTly enrichingThe overall preseTTion and fuTher TrenTheningThe book’s underlyingTheme of economic bubbles. WrTten by a leading expeT in risk managemeT,CoTinuousTime AssT PricingTheoryisThe firTTeTbook on assT pricingTheory wTh a maTingale approach. Based onThe aThor’s eTensiveTeaching and research experience onTheTopic, T is paTicularly well suTed for graduTe TudeTs in business and economics wTh a Trong mThemTical background.
PrefCe.-Contents.- Part I Arbitrage PrCing Theory.-Chapter 1 StChastC PrCesses.Chapter 2 The Fundamental Theorems.Chapter 3 Asset PrCe Bubbles.Chapter 4Basis Assets, Multiple-FCtor Beta Models, and SystematC Risk.Chapter 5The BlCk Choles Merton Model.Chapter 6The Heath Jarrow Morton Model.Chapter 7RedCed FormCredit Risk Models.Chapter 8IComplete Markets.-Part II Portfolio Optimization.Chapter 9Utility FuCtions.Chapter 1Complete Markets (Utility over Terminal Wealth).Chapter 11IComplete Markets (Utility over Terminal Wealth).Chapter 12 IComplete Markets (Utility over IntermediateConsumption and Terminal Wealth).-Part III Equilibrium.Chapter 13 Equilibrium.Chapter 14 A Representative Trader Conomy.Chapter 1CharCterizing the Equilibrium.Chapter 16Market Informational EffCieCy.Chapter 17Epilogue (The Fundamental Theorems and theCAPM).-Part IV TradingConstraints.Chapter 18The TradingConstrained Market.Chapter 19Arbitrage PrCing Theory.Chapter 20The Auxiliary Markets.Chapter 21Super- and Sub-ReplCation.Chapter 22Portfolio Optimization.Chapter 23Equilibrium.-RefereCes.-Index.
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