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Asset Pricing Theory.
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilib...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
2009.
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| Colección: | Princeton series in finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Title Page; Copyright Page; Table of Contents; Preface; Notation and Conventions; PART ONE: SINGLE-PERIOD ANALYSIS; Chapter One: Financial Market and Arbitrage; Chapter Two: Mean-Variance Analysis; Chapter Three: Optimality and Equilibrium; Chapter Four: Risk Aversion; PART TWO: DISCRETE DYNAMICS; Chapter Five: Dynamic Arbitrage Pricing; Chapter Six: Dynamic Optimality and Equilibrium; PART THREE: MATHEMATICAL BACKGROUND; Appendix A: Optimization Principles; Appendix B: Discrete Stochastic Analysis; B.1 Events, Random Variables, Expectation; B.2 Algebras and Measurability.
- B.3 Conditional ExpectationB. 4 Stochastic Independence; B.5 Filtration, Stopping Times and Stochastic Processes; B.6 Martingales; B.7 Predictable Martingale Representation; B.8 Change of Measure and Martingales; B.9 Markov Processes; B.10 Exercises; B.11 Notes; Bibliography; Index.