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.
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Editorial Reviews
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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, 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.
--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.
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Inside This Book
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First Sentence:
We first introduce several basic principles of security markets. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Ito's Lemma, Standard Brownian Motion, Capital Asset Pricing Model, Girsanov's Theorem, Prove Lemma, Saddle Point Theorem, Black-Scholes Formula, Donsker's Theorem, Black-Scholes Option Pricing Formula, Bellman's Equation, Lindeberg Condition, Riesz Representation Theorem, Modigliani-Miller Theorem, Prove Theorem, Use Exercise, Bellman Operator, Blackwell's Fixed Point Theorem, First Probability Concepts, Hahn-Banach Extension Theorem, Stochastic Euler Equation, Prove Fact, Robinson Crusoe New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
We first introduce several basic principles of security markets. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Ito's Lemma, Standard Brownian Motion, Capital Asset Pricing Model, Girsanov's Theorem, Prove Lemma, Saddle Point Theorem, Black-Scholes Formula, Donsker's Theorem, Black-Scholes Option Pricing Formula, Bellman's Equation, Lindeberg Condition, Riesz Representation Theorem, Modigliani-Miller Theorem, Prove Theorem, Use Exercise, Bellman Operator, Blackwell's Fixed Point Theorem, First Probability Concepts, Hahn-Banach Extension Theorem, Stochastic Euler Equation, Prove Fact, Robinson Crusoe 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 92
books:
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22
books
cite this book:
See all 22 books citing this book
- Dynamic Programming (Dover Books on Computer Science) by Richard Bellman in Front Matter, page 266, and Back Matter
- Bayes Theory (Springer Series in Statistics) by J. A. Hartigan on page 90, and Back Matter
- General Equilibrium Theory (International Library of Critical Writings in Economics) by Gerard Debreu on page 49, and page 50
- Stochastic Differential Equations (Siam-Ams Proceedings Ser .: No 6) by N. Y.) Symposium in Applied Mathematics (1972 New York in Back Matter (1), and Back Matter (2)
- Handbook of Mathematical Economics, Volume 1 (Handbooks in Economics) by Kenneth J. Arrow in Back Matter (1), and Back Matter (2)
See all 92 books this book cites
- Financial Economics, Risk and Information: An Introduction to Methods and Models by Marcelo Bianconi on page 210, and Back Matter
- Statistics in Finance (Arnold Applications of Statistics Series) by David J. Hand on page 185, and page 260
- Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher in Back Matter
- Forecasting Volatility in the Financial Markets, Second Edition (Quantitative Finance) by Stephen Satchell on page 96
- Modular Pricing of Options: An Application of Fourier Analysis (Lecture Notes in Economics and Mathematical Systems) by Jianwei Zhu in Back Matter
See all 22 books citing this book
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