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920226s1992 njua b 001 0 eng |
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|a 91046738
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|a 0691043027 (alk. paper)
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|a (ICU)BID15493422
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|a (OCoLC)25094274
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|c DLC
|d DLC$dOrLoB
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|a HG4637
|b .D84 1992
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| 082 |
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|a 332.6
|2 20
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| 100 |
1 |
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|a Duffie, Darrell
|0 http://id.loc.gov/authorities/names/n87927736
|1 http://viaf.org/viaf/85304189
|
| 245 |
1 |
0 |
|a Dynamic asset pricing theory /
|c Darrell Duffie.
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| 260 |
|
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|a Princeton, N.J. :
|b Princeton University Press,
|c c1992.
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| 300 |
|
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|a xvi, 299 p. :
|b ill. ;
|c 25 cm.
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| 336 |
|
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|a text
|b txt
|2 rdacontent
|0 http://id.loc.gov/vocabulary/contentTypes/txt
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| 337 |
|
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|a unmediated
|b n
|2 rdamedia
|0 http://id.loc.gov/vocabulary/mediaTypes/n
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| 338 |
|
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|a volume
|b nc
|2 rdacarrier
|0 http://id.loc.gov/vocabulary/carriers/nc
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| 504 |
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|a Includes bibliographical references (p. 255-282) and indexes.
|
| 505 |
2 |
0 |
|g Pt. I.
|t Discrete-Time Models.
|g 1.
|t An Introduction to State Pricing.
|g A.
|t Arbitrage and State Prices.
|g B.
|t Risk-Neutral Probabilities.
|g C.
|t Optimality and Asset Pricing.
|g D.
|t Equilibrium, Pareto Optimality, and Complete Markets.
|g E.
|t Pareto Optimality and the Representative Agent.
|g F.
|t State-Price Beta Models.
|g 2.
|t The Basic Multiperiod Model.
|g A.
|t Uncertainty.
|g B.
|t Security Markets.
|g C.
|t Arbitrage, State Prices, and Martingales.
|g D.
|t Individual Agent Optimality.
|g E.
|t Equilibrium and Pareto Optimality.
|g F.
|t Equilibrium Asset Pricing.
|g G.
|t Arbitrage and Equivalent Martingale Measures.
|g N.
|t Valuation of Redundant Securities.
|g I.
|t Valuation and Optimal Exercise Policies.
|g 3.
|t The Dynamic Programming Approach.
|g A.
|t The Bellman Approach.
|g B.
|t First Order Conditions of the Bellman Equation.
|g C.
|t Markov Uncertainty.
|g D.
|t Markov Asset Pricing.
|g E.
|t Security Pricing by Markov Control.
|g F.
|t Arbitrage-Free Valuation in a Markov Setting.
|g G.
|t Early Exercise and Optimal Stopping.
|g 4.
|t The Infinite-Horizon Setting.
|g A.
|t The Markov Dynamic Programming Solution.
|g B.
|t Markov Dynamic Programming and Equilibrium.
|g C.
|t Arbitrage and State Prices.
|g D.
|t Optimality and State Prices.
|g E.
|t Method-of-Moments Estimation --
|g Pt. II.
|t Continuous-Time Models.
|g 5.
|t The Black-Scholes Model.
|g A.
|t Trading Gains for Brownian Prices.
|g B.
|t Martingale Trading Gains.
|g C.
|t Ito Prices and Gains.
|g D.
|t Ito's Lemma.
|g E.
|t The Black-Scholes Option-Pricing Formula.
|g F.
|t A First Attack on the Black-Scholes Formula.
|g G.
|t The PDE for Arbitrage-Free Derivative Security Prices.
|g H.
|t The Feynman-Kac Solution.
|g I.
|t The Multidimensional Case.
|g 6.
|t State Prices and Equivalent Martingale Measures.
|g A.
|t Arbitrage.
|g B.
|t Numeraire Invariance.
|g C.
|t Arbitrage and State-Price Deflators.
|g D.
|t State-Price Restrictions on Expected Rates of Return.
|g E.
|t State-Price Beta Models.
|g F.
|t Equivalent Martingale Measures.
|g G.
|t Equivalent Martingale Measures and Girsanov's Theorem.
|g H.
|t Black-Scholes, One More Time.
|g I.
|t Complete Markets and Redundant Security Prices.
|g J.
|t State Prices and Equivalent Martingale Measures.
|g K.
|t Arbitrage Pricing with Dividends.
|g L.
|t Lumpy Dividends and the Term Structure.
|g M.
|t Equivalent Martingale Measures Implied by No Arbitrage.
|g 7.
|t Applications to Derivative Pricing.
|g A.
|t Equivalent Martingale Measures in a Black Box.
|g B.
|t Forward Prices.
|g C.
|t Futures Contracts and Continuous Resettlement.
|g D.
|t Arbitrage-Free Characterization of Futures Prices.
|g E.
|t American Security Valuation.
|g F.
|t Exercise and Continuation Regions for American Securities.
|g G.
|t One-Factor Term-Structure Models.
|g N.
|t Term-Structure Derivatives.
|g I.
|t An Affine Class of Term-Structure Models.
|g J.
|t Green's Function and the Term Structure.
|g K.
|t Other Term-Structure Models.
|g L.
|t The Heath-Jarrow-Morton Model of Forward Rates.
|g 8.
|t Optimal Portfolio and Consumption Choice.
|g A.
|t Stochastic Control.
|g B.
|t Merton's Problem.
|g C.
|t Solution to Merton's Problem.
|g D.
|t The Infinite-Horizon Case.
|g E.
|t The Martingale Formulation.
|g F.
|t Martingale Solution.
|g G.
|t A Generalization.
|g H.
|t The Utility Gradient Approach.
|g 9.
|t Equilibrium.
|g A.
|t The Primitives.
|g B.
|t Security-Spot Market Equilibrium.
|g C.
|t Arrow-Debreu Equilibrium.
|g D.
|t Implementing Arrow-Debreu Equilibrium.
|g E.
|t Real Security Prices.
|g F.
|t Optimality with Additive Separable Utility.
|g G.
|t Equilibrium with Smooth-Additive Utility.
|g H.
|t The Consumption-Based CAPM.
|g I.
|t The CIR Term Structure.
|g J.
|t The CCAPM without Dynamic Spanning.
|g 10.
|t Numerical Methods.
|g A.
|t Central Limit Theorems.
|g B.
|t Convergence from Binomial to Black-Scholes.
|g C.
|t Binomial Convergence for Unbounded Derivative Payoffs.
|g D.
|t Discretization of Asset Price Processes.
|g E.
|t Large Deviations of Monte Carlo Asset Price Simulations.
|g F.
|t Computation Time and Error Size.
|g G.
|t Estimation of the Feynman-Kac Pricing Solution.
|g H.
|t Finite-Difference Methods.
|g I.
|t A Finite-Difference Term-Structure Example.
|g J.
|t Finite-Difference Algorithms with Early Exercise Options.
|g K.
|t The Numerical Solution of State Prices.
|g L.
|t Numerical Solution of the Pricing Semi-Group.
|g M.
|t Numerically Fitting the Initial Term Structure.
|t A Probability - The Finite-State Case --
|t B Separating Hyperplanes and Optimality --
|t C Probability - The General Case --
|t D Stochastic Integration --
|t E SDEs, PDEs, and the Feynman-Kac Formula --
|t F Calculation of Utility Gradients --
|t G Finite Difference Computer Code.
|
| 650 |
|
0 |
|a Capital assets pricing model
|0 http://id.loc.gov/authorities/subjects/sh85019932
|
| 650 |
|
0 |
|a Portfolio management
|0 http://id.loc.gov/authorities/subjects/sh85105080
|
| 650 |
|
0 |
|a Uncertainty
|0 http://id.loc.gov/authorities/subjects/sh85139563
|
| 650 |
|
7 |
|a Capital assets pricing model.
|2 fast
|0 http://id.worldcat.org/fast/fst00846288
|
| 650 |
|
7 |
|a Portfolio management.
|2 fast
|0 http://id.worldcat.org/fast/fst01072072
|
| 650 |
|
7 |
|a Uncertainty.
|2 fast
|0 http://id.worldcat.org/fast/fst01160832
|
| 850 |
|
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|a ICU
|
| 901 |
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|a ToCBNA
|
| 903 |
|
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|a HeVa
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| 929 |
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|a cat
|
| 999 |
f |
f |
|i c58abdf5-b0ab-5250-b71e-9d1f4ee57688
|s e315f26d-648e-58ce-b3d7-7846ab209a9e
|
| 928 |
|
|
|t Library of Congress classification
|a HG4637.D840 1992
|l JRL
|c JRL-Gen
|i 2180087
|
| 927 |
|
|
|t Library of Congress classification
|a HG4637.D840 1992
|l JRL
|c JRL-Gen
|b 36586139
|i 2633368
|
