Security Markets: Stochastic Models (Economic Theory, Econometrics, and Mathematical Economics)

Duffie, Darrell

ISBN 10: 012223345X / ISBN 13: 9780122233456

Edité par Emerald Publishing Limited (edition Illustrated), 1988

It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience. N° de réf. du vendeur 012223345X-11-1

Synopsis :

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.

Revue de presse: "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.

Détails bibliographiques

Titre : Security Markets: Stochastic Models (...
Éditeur : Emerald Publishing Limited (edition Illustrated)
Date d'édition : 1988
Reliure : Hardcover
Etat : Good
Edition : Illustrated.