動態資產價格理論(第3版)(簡體書)
- ISBN13:9787506282345
- 出版社:世界圖書(北京)出版公司
- 作者:Darrell
- 裝訂/頁數:平裝/465頁
- 規格:22.5cm*14.8cm (高/寬)
- 版次:一版
- 出版日:2007/01/01
商品簡介
Duffie的書一直是一本風格比較獨特的書籍,吸引了眾多的讀者試圖去讀懂和征服它。本版的風格仍然與前二版相同,即用數學模型來處理金融問題,這樣做的優點是可以獲得較為深刻的理論結果,它的起始讀者群定位于金融專業的博士研究生。
目次
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 Itos 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
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