The Economics of Continuous-Time Finance

Author: Bernard Dumas,Elisa Luciano

Publisher: MIT Press

ISBN: 0262036541

Category: Business & Economics

Page: 640

View: 1262

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This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets -- characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.
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Continuous-Time Finance

Author: Robert C. Merton

Publisher: Wiley-Blackwell

ISBN: 9780631185086

Category: Business & Economics

Page: 754

View: 4371

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Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.
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Handbook of the Economics of Finance

Financial Markets and Asset Pricing

Author: G. Constantinides,M. Harris,Rene M. Stulz

Publisher: Elsevier

ISBN: 9780444513632

Category: Business & Economics

Page: 694

View: 5281

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Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
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The Economics of Commodity Markets

Author: Julien Chevallier,Florian Ielpo

Publisher: John Wiley & Sons

ISBN: 1119945402

Category: Business & Economics

Page: 360

View: 2980

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As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions. Universities and other training institutions have responded to this rapid expansion of commodity markets as well as their substantial future growth potential by launching specialized courses on the subject. The Economics of Commodity Markets attempts to bridge the gap between academics and working professionals by way of a textbook that is both theoretically informative and practical. Based in part on the authors’ teaching experience of commodity finance at the University Paris Dauphine, the book covers all important commodity markets topics and includes coverage of recent topics such as financial applications and intuitive economic reasoning. The book is composed of three parts that cover: commodity market dynamics, commodities and the business cycle, and commodities and fundamental value. The key original approach to the subject matter lies in a shift away from the descriptive to the econometric analysis of commodity markets. Information on market trends of commodities is presented in the first part, with a strong emphasis on the quantitative treatment of that information in the remaining two parts of the book. Readers are provided with a clear and succinct exposition of up-to-date financial economic and econometric methods as these apply to commodity markets. In addition a number of useful empirical applications are introduced and discussed. This book is a self-contained offering, discussing all key methods and insights without descending into superfluous technicalities. All explanations are structured in an accessible manner, permitting any reader with a basic understanding of mathematics and finance to work their way through all parts of the book without having to resort to external sources.
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Solutions Manual for Introduction to the Economics and Mathematics of Financial Markets

Author: Jakša Cvitanić,Fernando Zapatero

Publisher: MIT Press

ISBN: 9780262532594

Category: Business & Economics

Page: 60

View: 1962

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This textbook in financial economics provides a rigorous overview of the subject that -- because of an innovative presentation -- is suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three levels of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics.
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Financial Markets in Continuous Time

Author: Rose-Anne Dana,Monique Jeanblanc

Publisher: Springer Science & Business Media

ISBN: 3540711503

Category: Mathematics

Page: 324

View: 9788

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This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.
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Arbitrage Theory in Continuous Time

Author: Tomas Björk

Publisher: Oxford University Press

ISBN: 019957474X

Category: Business & Economics

Page: 525

View: 6637

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This accessible introduction to the mathematical underpinnings of finance concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives. It includes a solved example for every new technique presented, numerous exercises, and a Further Reading list in each chapter.
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Financial Economics, Risk and Information

Author: Marcelo Bianconi

Publisher: World Scientific

ISBN: 9814355135

Category: Business & Economics

Page: 475

View: 4374

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Financial Economics, Risk and Information presents the fundamentals of finance in static and dynamic frameworks with focus on risk and information. The objective of this book is to introduce undergraduate and first-year graduate students to the methods and solutions of the main problems in finance theory relating to the economics of uncertainty and information. The main goal of the second edition is to make the materials more accessible to a wider audience of students and finance professionals. The focus is on developing a core body of theory that will provide the student with a solid intellectual foundation for more advanced topics and methods. The new edition has streamlined chapters and topics, with new sections on portfolio choice under alternative information structures. The starting point is the traditional mean-variance approach, followed by portfolio choice from first principles. The topics are extended to alternative market structures, alternative contractual arrangements and agency, dynamic stochastic general equilibrium in discrete and continuous time, attitudes towards risk and towards inter-temporal substitution in discrete and continuous time; and option pricing. In general, the book presents a balanced introduction to the use of stochastic methods in discrete and continuous time in the field of financial economics.
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Financial Asset Pricing Theory

Author: Claus Munk

Publisher: Oxford University Press

ISBN: 0199585490

Category: Business & Economics

Page: 585

View: 980

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The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
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Principles of Financial Economics

Author: Stephen F. LeRoy,Jan Werner

Publisher: Cambridge University Press

ISBN: 9780521586054

Category: Business & Economics

Page: 280

View: 7052

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This graduate-level 2001 introduction links financial economics with equilibrium theory and emphasises two-date models.
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