| Description |
xix, 465 p. : ill. ; 24 cm. |
| Notes |
Previous ed.: 1996. |
|
Includes bibliographical references (p. 373-443) and indexes. |
| Contents |
Introduction to state pricing -- The basic multiperiod model -- The dynamic programming approach -- The infinite-horizon setting -- The Black-Scholes model -- State prices and equivalent martingale measures -- Term-structure models -- Derivative pricing -- Portfolio and consumption choice -- Equilibrium -- Corporate securities -- Numerical methods -- Appendixes: A. Finite-state probability -- B. Separating hyperplanes and optimality -- C. Probability -- D. Stochastic integration -- E. SDE, PDE, and Feynman-Kac -- F. Ito's formula with jumps -- G. Utility gradients -- H. Ito's formula for complex functions -- I. Counting processes -- J. Finite-difference code. |
| Subject |
Capital assets pricing model.
|
|
Portfolio management.
|
|
Uncertainty.
|
| ISBN |
069109022X (alk. paper) |
| Call Number |
HG4637 .D84 2001 |
|
