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Darrell DQuffie 著
出版社: 世界图书出版公司 ISBN:9787506282345 版次:3 商品编码:10758756 包装:平装 丛书名: 经典名著系列 出版时间:2007-01-01 用纸:胶版纸 页数:465
Duffie的书一直是一本风格比较独特的书籍,吸引了众多的读者试图去读懂和征服它。本版的风格仍然与前二版相同,即用数学模型来处理金融问题,这样做的优点是可以获得较为深刻的理论结果,它的起始读者群定位于金融专业的博士研究生。
PART Ⅰ DISCRETE-TIME MODELS
1 Introduction to State Pricing
A Arbitrage and State Prices
B Risk-Neutral Probabilities
C Optimality and Asset Pricing
D Efficiency and Complete Markets
E Optimality and Representative Agents
F State-Price Beta Models
Exercises
Notes
2 The Basic Multiperiod Model
A Uncertainty
B Security Markets
C Arbitrage, State Prices, and Martingales
D Individual Agent Optimality
E Equilibrium and Pareto Optimality.
F Equilibrium Asset Pricing
G Arbitrage and Martingale Measures
H Valuation of Redundant Securities
I American Exercise Policies and Valuation
j is Early Exercise Optimal?
Exercises
Notes
3 The Dynamic Programming Approach
A The Bellman Approach
B First-Order Bellman Conditions
C Markov Uncertainty
D Markov Asset Pricing
E Security Pricing by Markov Control
F Markov Arbitrage-Free Valuation
G Early Exercise and Optimal Stopping
Exercises
Notes
4 The Infinite-Horizon Setting
A Markov Dynamic Programming
B Dynamic Programming and Equilibrium
C Arbitrage and State Prices
D Optimality and State Prices
E Method-of-Moments Estimation
Exercises
Notes
PART Ⅱ CONTINUOUS-TIME MODELS
5 The Black-Scholes Model
A Trading Gains for Brownian Prices
B Martingale Trading Gains
C Ito Prices and Gains
D Ito's Formula
E The Black-Scholes Option-Pricing Formula
F Black-Scholes Formula: First Try
G The PDE for Arbitrage-Free Prices
H The Feynman-Kac Solution
I The Multidimensional Case
Exercises
Notes
6 State Prices and Equivalent Martingale Measures
A Arbitrage
B Numeraire Invariance
C State Prices and Doubling Strategies
D Expected Rates of Return
……
7 Term-Structure Models
8 Derivative Pricing
9 Portfolio and Consumption Choice
10 Equilibrium
11 Comrporate Securities
12 Numerical Methods
APPENDIXES
动态资产价格理论(第3版) 电子书 下载 mobi epub pdf txt
动态资产价格理论(第3版)-so88
动态资产价格理论(第3版) pdf epub mobi txt 电子书 下载 2022
图书介绍
☆☆☆☆☆
||
Darrell DQuffie 著
出版社: 世界图书出版公司 ISBN:9787506282345 版次:3 商品编码:10758756 包装:平装 丛书名: 经典名著系列 出版时间:2007-01-01 用纸:胶版纸 页数:465
内容简介
《动态资产价格理论(第3版)》为Duffie 教授著名的《动态资产定价理论》第3版,与前二版相比,本版主要增加的内容是第11章公司证券,即将公司的股权融资、债券融资、违约、破产等结合在一起来考虑定价。Duffie的书一直是一本风格比较独特的书籍,吸引了众多的读者试图去读懂和征服它。本版的风格仍然与前二版相同,即用数学模型来处理金融问题,这样做的优点是可以获得较为深刻的理论结果,它的起始读者群定位于金融专业的博士研究生。
目录
PrefacePART Ⅰ DISCRETE-TIME MODELS
1 Introduction to State Pricing
A Arbitrage and State Prices
B Risk-Neutral Probabilities
C Optimality and Asset Pricing
D Efficiency and Complete Markets
E Optimality and Representative Agents
F State-Price Beta Models
Exercises
Notes
2 The Basic Multiperiod Model
A Uncertainty
B Security Markets
C Arbitrage, State Prices, and Martingales
D Individual Agent Optimality
E Equilibrium and Pareto Optimality.
F Equilibrium Asset Pricing
G Arbitrage and Martingale Measures
H Valuation of Redundant Securities
I American Exercise Policies and Valuation
j is Early Exercise Optimal?
Exercises
Notes
3 The Dynamic Programming Approach
A The Bellman Approach
B First-Order Bellman Conditions
C Markov Uncertainty
D Markov Asset Pricing
E Security Pricing by Markov Control
F Markov Arbitrage-Free Valuation
G Early Exercise and Optimal Stopping
Exercises
Notes
4 The Infinite-Horizon Setting
A Markov Dynamic Programming
B Dynamic Programming and Equilibrium
C Arbitrage and State Prices
D Optimality and State Prices
E Method-of-Moments Estimation
Exercises
Notes
PART Ⅱ CONTINUOUS-TIME MODELS
5 The Black-Scholes Model
A Trading Gains for Brownian Prices
B Martingale Trading Gains
C Ito Prices and Gains
D Ito's Formula
E The Black-Scholes Option-Pricing Formula
F Black-Scholes Formula: First Try
G The PDE for Arbitrage-Free Prices
H The Feynman-Kac Solution
I The Multidimensional Case
Exercises
Notes
6 State Prices and Equivalent Martingale Measures
A Arbitrage
B Numeraire Invariance
C State Prices and Doubling Strategies
D Expected Rates of Return
……
7 Term-Structure Models
8 Derivative Pricing
9 Portfolio and Consumption Choice
10 Equilibrium
11 Comrporate Securities
12 Numerical Methods
APPENDIXES
前言/序言
动态资产价格理论(第3版) 电子书 下载 mobi epub pdf txt
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