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Author : Darrell Duffie,Lü-weng Huang
Publisher : Unknown
Page : 21 pages
File Size : 45,5 Mb
Release : 1985
Category : Electronic
ISBN : OCLC:12768999
Author : Darrell Duffie
Publisher : Unknown
Page : 32 pages
File Size : 48,7 Mb
Release : 2015-08-05
Category : Business & Economics
ISBN : 1332270867
Excerpt from Multiperiod Securities Markets, With Differential Information: Martingales and Resolution Times We model multiperiod securities markets with differential information. A price system that admits no free lunches is related to martingales when agents have rational expectations. We introduce a concept called resolution time and show that a better informed agent and a worse informed agent must agree on the resolution times of commonly marketed events if they have rational expectations and if there are no free lunches. It then follows that if all the elementary events are marketed for a worse informed agent then any price system that admits no free lunches to a better informed agent must dynamically equalize the information asymmetry between the two. We provide an example of a dynamically fully revealing price system that is arbitrage free and yields elementarily complete markets. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author : Darrell Duffie,Chi-Fu Huang
Publisher : Sagwan Press
Page : 34 pages
File Size : 51,6 Mb
Release : 2018-02-08
Category : History
ISBN : 1377033333
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Darrell Duffie,Chi-Fu Huang
Publisher : Unknown
Page : 34 pages
File Size : 48,8 Mb
Release : 2013-10
Category : Electronic
ISBN : 1293051705
This is a reproduction of a book published before 1923. This book may have occasional imperfections such as missing or blurred pages, poor pictures, errant marks, etc. that were either part of the original artifact, or were introduced by the scanning process. We believe this work is culturally important, and despite the imperfections, have elected to bring it back into print as part of our continuing commitment to the preservation of printed works worldwide. We appreciate your understanding of the imperfections in the preservation process, and hope you enjoy this valuable book.
Author : R.A. Jarrow
Publisher : Elsevier
Page : 1204 pages
File Size : 45,5 Mb
Release : 1995-12-15
Category : Business & Economics
ISBN : 044489084X
Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Author : John Eatwell,Murray Milgate,Peter Newman
Publisher : Springer
Page : 289 pages
File Size : 54,5 Mb
Release : 1989-09-21
Category : Business & Economics
ISBN : 9781349202133
This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on finance.
Author : Shanjian Tang,Jiongmin Yong
Publisher : World Scientific
Page : 420 pages
File Size : 46,8 Mb
Release : 2007
Category : Mathematics
ISBN : 9789812705822
Professor Xunjing Li (1935–2003) was a pioneer in control theory in China. He was influential in the Chinese community of applied mathematics, and the global community of optimal control theory of distributed parameter systems. He has made very important contributions to the optimal control theory of distributed parameter systems, in particular regarding the first-order necessary conditions (Pontryagin-type maximum principle) for optimal control of nonlinear infinite-dimensional systems. This proceedings volume is a collection of original research papers or reviews authored or co-authored by Professor Li's former students, postdoctoral fellows, and mentored scholars in the areas of control theory, dynamic systems, mathematical finance, and stochastic analysis, among others. These articles show in some degree the influence of Professor Xunjing Li.
Author : Tomas Björk
Publisher : Cambridge University Press
Page : 323 pages
File Size : 49,8 Mb
Release : 2021-06-17
Category : Business & Economics
ISBN : 9781316518670
Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.
Author : Darrell Duffie
Publisher : Princeton University Press
Page : 488 pages
File Size : 40,7 Mb
Release : 2010-01-27
Category : Business & Economics
ISBN : 9781400829200
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Author : Bruno Biais,Thomas Björk,Jakša Cvitanic,Nicole El Karoui,Elyes Jouini,J.C. Rochet
Publisher : Springer
Page : 322 pages
File Size : 52,8 Mb
Release : 2006-11-15
Category : Mathematics
ISBN : 9783540683568
Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level and sufficient familiarity with probabilistic methods, in particular stochastic analysis.
Author : Ioannis Karatzas,Steven Shreve
Publisher : Springer
Page : 415 pages
File Size : 49,6 Mb
Release : 2017-01-10
Category : Mathematics
ISBN : 9781493968459
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Author : Jiro Akahori,Shigeyoshi Ogawa,Shinzo Watanabe
Publisher : World Scientific
Page : 410 pages
File Size : 44,6 Mb
Release : 2004
Category : Mathematics
ISBN : 9789812387783
This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.
Author : Marek Musiela
Publisher : Springer Science & Business Media
Page : 521 pages
File Size : 50,6 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9783662221327
A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.
Author : Tomas Bjork
Publisher : Oxford University Press, USA
Page : 584 pages
File Size : 43,7 Mb
Release : 2020-01-16
Category : Arbitrage
ISBN : 9780198851615
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, Arbitrage Theory in Continuous Time is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Bjork has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. This edition includes an entirely new section presenting dynamic equilibrium theory, covering unit net supply endowments models and the Cox-Ingersoll-Ross equilibrium factor model. Providing two full treatments of arbitrage theory-the classical delta hedging approach and the modern martingale approach-this book is written so that these approaches can be studied independently of each other, thus providing the less mathematically-oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action. This textbook is a natural choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in the market.
Author : G. Constantinides,Rene M. Stulz,M. Harris
Publisher : Elsevier
Page : 694 pages
File Size : 41,7 Mb
Release : 2003-11-04
Category : Business & Economics
ISBN : 0080495087
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.