Presenting a balanced blend of pure finance and contract theory in the presence of risk, alternative forms of information structures, and static and dynamic frameworks, this book provides an introduction to the use of stochastic methods in financial economics and finance. The following topics are covered: financial risk and asset pricing and asset returns under alternative contractual arrangements, portfolio choice, individual behavior towards risk, general equilibrium under uncertainty in discrete and continuous time settings, indivisibilities and nonconvexities in a general equilibrium context, contract theory, mechanism design and principal-agent relationships in partial and general equilibrium contexts, credit markets, and option pricing.
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Upper level undergraduates, graduate students (master’s & PhD) and lecturers in financial economics; researchers; financial market professionals.
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Inside This Book
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We offer in this chapter an introduction to some basic mathematical tools used throughout this book. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
final random wealth, high effort action, indivisible labor economy, nonstochastic equilibrium, right incentive for the agent, asset pricing formula, static capital asset pricing model, expected excess rate, partial risk sharing, cumulative welfare, uncertainty aversion, full risk sharing, inner maximum, sufficient second order condition, stochastic dynamic optimization, elementary securities, expected utility representation, ordinary securities, outstanding market value, elementary security, capital market line, deviation space, portfolio choice problem, ith asset, consumption possibility set Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Ito's Lemma, Cambridge University Press, Princeton University Press, Journal of Economic Theory, Journal of Monetary Economics, Department of Economics, Review of Economic Studies, American Economic Review, Journal of Political Economy, Academic Press, Fundamental Theorem of Risk Bearing, Economic Dynamics, Financial Decision-Making, John Wiley, Second Fundamental Theorem of Welfare Economics, Basil Blackwell, Efficient Market, San Diego, First Fundamental Theorem of Welfare Economics, Harvard University Press, Journal of Economic Literature, Journal of Finance, Mutual Fund, Quarterly Journal of Economics New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
We offer in this chapter an introduction to some basic mathematical tools used throughout this book. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
final random wealth, high effort action, indivisible labor economy, nonstochastic equilibrium, right incentive for the agent, asset pricing formula, static capital asset pricing model, expected excess rate, partial risk sharing, cumulative welfare, uncertainty aversion, full risk sharing, inner maximum, sufficient second order condition, stochastic dynamic optimization, elementary securities, expected utility representation, ordinary securities, outstanding market value, elementary security, capital market line, deviation space, portfolio choice problem, ith asset, consumption possibility set Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Ito's Lemma, Cambridge University Press, Princeton University Press, Journal of Economic Theory, Journal of Monetary Economics, Department of Economics, Review of Economic Studies, American Economic Review, Journal of Political Economy, Academic Press, Fundamental Theorem of Risk Bearing, Economic Dynamics, Financial Decision-Making, John Wiley, Second Fundamental Theorem of Welfare Economics, Basil Blackwell, Efficient Market, San Diego, First Fundamental Theorem of Welfare Economics, Harvard University Press, Journal of Economic Literature, Journal of Finance, Mutual Fund, Quarterly Journal of Economics New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 91
books:
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- Macroeconomic Theory (Economic Theory, Econometrics, and Mathematical Economics Series) (Economic Theory, Econometrics, and Mathematical Economics) ... Econometrics, & Mathematical Economics) by Thomas J. Sargent on 6 pages
- Working Papers by Peter G Peterson Institute for International Economics on 4 pages
- Strategic Asset Allocation by John Y. Campbell on 4 pages
- Microeconomic Theory by Andreu Mas-Colell on 4 pages
- Asset Pricing: (Revised Edition) by John H. Cochrane on 4 pages
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