Inbunden, Engelska, 1988

Security Markets

Stochastic Models

Av Darrell Duffie, Darrell Duffie

Del i serien Economic Theory, Econometrics, and Mathematical Economics

1354 kr

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Beskrivning

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.

Produktinformation

Utgivningsdatum: 1988-07-28
Mått: 152 x 229 x 25 mm
Vikt: 670 g
Format: Inbunden
Språk: Engelska
Serie: Economic Theory, Econometrics, and Mathematical Economics
Antal sidor: 250
Förlag: Emerald Publishing Limited
ISBN: 9780122233456

Utforska kategorier

Finansiering

Recensioner i media

"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.

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