MARC details
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08015cam a22003734i 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20221101233100.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
090306s2009 njua b 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2008041830 |
| 011 ## - LINKING LIBRARY OF CONGRESS CONTROL NUMBER [OBSOLETE] |
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| Local cataloguing issues note |
BIB MATCHES WORLDCAT |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
0470431997 |
| Qualifying information |
cloth |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780470431993 |
| Qualifying information |
cloth |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(ATU)b11436542 |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(OCoLC)258767962 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
DLC |
| Modifying agency |
BTCTA |
| -- |
YDXCP |
| -- |
C#P |
| -- |
BWX |
| -- |
CDX |
| -- |
ATU |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG106 |
| Item number |
.E67 2009 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.015195 |
| Edition number |
22 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Epps, T. W., |
| Relator term |
author. |
| 9 (RLIN) |
1064150 |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Quantitative finance : |
| Remainder of title |
its development, mathematical foundations, and current scope / |
| Statement of responsibility, etc. |
T.W. Epps. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Hoboken, N.J. : |
| Name of producer, publisher, distributor, manufacturer |
Wiley, |
| Date of production, publication, distribution, manufacture, or copyright notice |
[2009] |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Date of production, publication, distribution, manufacture, or copyright notice |
©2009 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xviii, 401 pages : |
| Other physical details |
illustrations ; |
| Dimensions |
25 cm |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
unmediated |
| Media type code |
n |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
volume |
| Carrier type code |
nc |
| Source |
rdacarrier |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
Includes bibliographical references (pages 391-395) and index. |
| 505 00 - FORMATTED CONTENTS NOTE |
|---|
| Miscellaneous information |
Part I. |
| Title |
Perspective and Preparation -- |
| Miscellaneous information |
1. |
| Title |
Introduction and Overview -- |
| Miscellaneous information |
1.1. |
| Title |
An Elemental View of Assets and Markets -- |
| Miscellaneous information |
1.1.1. |
| Title |
Assets as Bundles of Claims -- |
| Miscellaneous information |
1.1.2. |
| Title |
Financial Markets as Transportation Agents -- |
| Miscellaneous information |
1.1.3. |
| Title |
Why Is Transportation Desirable? -- |
| Miscellaneous information |
1.1.4. |
| Title |
What Vehicles Are Available? -- |
| Miscellaneous information |
1.1.5. |
| Title |
What Is There to Learn about Assets and Markets? -- |
| Miscellaneous information |
1.1.6. |
| Title |
Why the Need for Quantitative Finance? -- |
| Miscellaneous information |
1.2. |
| Title |
Where We Go from Here -- |
| Miscellaneous information |
2. |
| Title |
Tools from Calculus and Analysis -- |
| Miscellaneous information |
2.1. |
| Title |
Some Basics from Calculus -- |
| Miscellaneous information |
2.2. |
| Title |
Elements of Measure Theory -- |
| Miscellaneous information |
2.2.1. |
| Title |
Sets and Collections of Sets -- |
| Miscellaneous information |
2.2.2. |
| Title |
Set Functions and Measures -- |
| Miscellaneous information |
2.3. |
| Title |
Integration -- |
| Miscellaneous information |
2.3.1. |
| Title |
Riemann-Stieltjes -- |
| Miscellaneous information |
2.3.2. |
| Title |
Lebesgue /Lebesgue-Stieltjes -- |
| Miscellaneous information |
2.3.3. |
| Title |
Properties of the Integral -- |
| Miscellaneous information |
2.4. |
| Title |
Changes of Measure -- |
| Miscellaneous information |
3. |
| Title |
Probability -- |
| Miscellaneous information |
3.1. |
| Title |
Probability Spaces -- |
| Miscellaneous information |
3.2. |
| Title |
Random Variables and Their Distributions -- |
| Miscellaneous information |
3.3. |
| Title |
Independence of R.V.s -- |
| Miscellaneous information |
3.4. |
| Title |
Expectation -- |
| Miscellaneous information |
3.4.1. |
| Title |
Moments -- |
| Miscellaneous information |
3.4.2. |
| Title |
Conditional Expectations and Moments -- |
| Miscellaneous information |
3.4.3. |
| Title |
Generating Functions -- |
| Miscellaneous information |
3.5. |
| Title |
Changes of Probability Measure -- |
| Miscellaneous information |
3.6. |
| Title |
Convergence Concepts -- |
| Miscellaneous information |
3.7. |
| Title |
Laws of Large Numbers and Central Limit Theorems -- |
| Miscellaneous information |
3.8. |
| Title |
Important Models for Distributions -- |
| Miscellaneous information |
3.8.1. |
| Title |
Continuous Models -- |
| Miscellaneous information |
3.8.2. |
| Title |
Discrete Models -- |
| Miscellaneous information |
Part II. |
| Title |
Portfolios and Prices -- |
| Miscellaneous information |
4. |
| Title |
Interest and Bond Prices -- |
| Miscellaneous information |
4.1. |
| Title |
Interest Rates and Compounding -- |
| Miscellaneous information |
4.2. |
| Title |
Bond Prices, Yields, and Spot Rates -- |
| Miscellaneous information |
4.3. |
| Title |
Forward Bond Prices and Rates -- |
| Miscellaneous information |
4.4. |
| Title |
Empirical Project #1 -- |
| Miscellaneous information |
5. |
| Title |
Models of Portfolio Choice -- |
| Miscellaneous information |
5.1. |
| Title |
Models That Ignore Risk -- |
| Miscellaneous information |
5.2. |
| Title |
Mean-Variance Portfolio Theory -- |
| Miscellaneous information |
5.2.1. |
| Title |
Mean-Variance 'Efficient' Portfolios -- |
| Miscellaneous information |
5.2.2. |
| Title |
The Single-Index Model -- |
| Miscellaneous information |
5.3. |
| Title |
Empirical Project #2 -- |
| Miscellaneous information |
6. |
| Title |
Prices in a Mean-VarianceWorld -- |
| Miscellaneous information |
6.1. |
| Title |
The Assumptions -- |
| Miscellaneous information |
6.2. |
| Title |
The Derivation -- |
| Miscellaneous information |
6.3. |
| Title |
Interpretation -- |
| Miscellaneous information |
6.4. |
| Title |
Empirical Evidence -- |
| Miscellaneous information |
6.5. |
| Title |
Some Reflections -- |
| Miscellaneous information |
7. |
| Title |
Rational Decisions under Risk -- |
| Miscellaneous information |
7.1. |
| Title |
The Setting and the Axioms -- |
| Miscellaneous information |
7.2. |
| Title |
The Expected-Utility Theorem -- |
| Miscellaneous information |
7.3. |
| Title |
Applying Expected-Utility Theory -- |
| Miscellaneous information |
7.3.1. |
| Title |
Implementing EU Theory in Financial Modeling -- |
| Miscellaneous information |
7.3.2. |
| Title |
Inferring Utilities and Beliefs -- |
| Miscellaneous information |
7.3.3. |
| Title |
Qualitative Properties of Utility Functions -- |
| Miscellaneous information |
7.3.4. |
| Title |
Measures of Risk Aversion -- |
| Miscellaneous information |
7.3.5. |
| Title |
Examples of Utility Functions -- |
| Miscellaneous information |
7.3.6. |
| Title |
Some Qualitative Implications of the EU Model -- |
| Miscellaneous information |
7.3.7. |
| Title |
Stochastic Dominance -- |
| Miscellaneous information |
7.4. |
| Title |
Is the Markowitz Investor Rational? -- |
| Miscellaneous information |
7.5. |
| Title |
Empirical Project #3 -- |
| Miscellaneous information |
8. |
| Title |
Observed Decisions under Risk -- |
| Miscellaneous information |
8.1. |
| Title |
Evidence about Choices under Risk -- |
| Miscellaneous information |
8.1.1. |
| Title |
Allais? Paradox -- |
| Miscellaneous information |
8.1.2. |
| Title |
Prospect Theory -- |
| Miscellaneous information |
8.1.3. |
| Title |
Preference Reversals -- |
| Miscellaneous information |
8.1.4. |
| Title |
Risk Aversion and Diminishing Marginal Utility -- |
| Miscellaneous information |
8.2. |
| Title |
Toward 'Behavioral' Finance -- |
| Miscellaneous information |
9. |
| Title |
Distributions of Returns -- |
| Miscellaneous information |
9.1. |
| Title |
Some Background -- |
| Miscellaneous information |
9.2. |
| Title |
The Normal /Lognormal Model -- |
| Miscellaneous information |
9.3. |
| Title |
The Stable Model -- |
| Miscellaneous information |
9.4. |
| Title |
Mixture Models -- |
| Miscellaneous information |
9.5. |
| Title |
Comparison and Evaluation -- |
| Miscellaneous information |
10. |
| Title |
Dynamics of Prices and Returns -- |
| Miscellaneous information |
10.1. |
| Title |
Evidence for First-Moment Independence -- |
| Miscellaneous information |
10.2. |
| Title |
Random Walks and Martingales -- |
| Miscellaneous information |
10.3. |
| Title |
Modeling Prices in Continuous Time -- |
| Miscellaneous information |
10.3.1. |
| Title |
Poisson and Compound-Poisson Processes -- |
| Miscellaneous information |
10.3.2. |
| Title |
Brownian Motions -- |
| Miscellaneous information |
10.3.3. |
| Title |
Martingales in Continuous Time -- |
| Miscellaneous information |
10.4. |
| Title |
Empirical Project #4 -- |
| Miscellaneous information |
11. |
| Title |
Stochastic Calculus -- |
| Miscellaneous information |
11.1. |
| Title |
Stochastic Integrals -- |
| Miscellaneous information |
11.1.1. |
| Title |
Ito Integrals with Respect to a B.m -- |
| Miscellaneous information |
11.1.2. |
| Title |
From It^o Integrals to It^o Processes -- |
| Miscellaneous information |
11.1.3. |
| Title |
Quadratic-Variations of It^o Processes -- |
| Miscellaneous information |
11.1.4. |
| Title |
Integrals with Respect to It^o Processes -- |
| Miscellaneous information |
11.2. |
| Title |
Stochastic Differentials -- |
| Miscellaneous information |
11.3. |
| Title |
Ito's Formula for Differentials -- |
| Miscellaneous information |
11.3.1. |
| Title |
Functions of a B.m. Alone -- |
| Miscellaneous information |
11.3.2. |
| Title |
Functions of Time and a B.m -- |
| Miscellaneous information |
11.3.3. |
| Title |
Functions of Time and General It^o Processes -- |
| Miscellaneous information |
12. |
| Title |
Portfolio Decisions over Time -- |
| Miscellaneous information |
12.1. |
| Title |
The Consumption-Investment Problem -- |
| Miscellaneous information |
12.2. |
| Title |
Dynamic Portfolio Decisions -- |
| Miscellaneous information |
12.2.1. |
| Title |
Optimizing via Dynamic Programming -- |
| Miscellaneous information |
12.2.2. |
| Title |
A Formulation with Additively-Separable Utility -- |
| Miscellaneous information |
13. |
| Title |
Optimal Growth -- |
| Miscellaneous information |
13.1. |
| Title |
Optimal Growth in Discrete Time -- |
| Miscellaneous information |
13.2. |
| Title |
Optimal Growth in Continuous Time -- |
| Miscellaneous information |
13.3. |
| Title |
Some Qualifications -- |
| Miscellaneous information |
13.4. |
| Title |
Empirical Project #5 -- |
| Miscellaneous information |
14. |
| Title |
Dynamic Models for Prices -- |
| Miscellaneous information |
14.1. |
| Title |
Dynamic Optimization (Again) -- |
| Miscellaneous information |
14.2. |
| Title |
Static Implications: The CAPM -- |
| Miscellaneous information |
14.3. |
| Title |
Dynamic Implications: The Lucas Model -- |
| Miscellaneous information |
14.4. |
| Title |
Assessment -- |
| Miscellaneous information |
14.4.1. |
| Title |
The Puzzles -- |
| Miscellaneous information |
14.4.2. |
| Title |
The Patches -- |
| Miscellaneous information |
14.4.3. |
| Title |
Some Reflections -- |
| Miscellaneous information |
15. |
| Title |
Efficient Markets -- |
| Miscellaneous information |
15.1. |
| Title |
Event Studies -- |
| Miscellaneous information |
15.1.1. |
| Title |
Methods -- |
| Miscellaneous information |
15.1.2. |
| Title |
A Sample Study -- |
| Miscellaneous information |
15.2. |
| Title |
Dynamic Tests -- |
| Miscellaneous information |
15.2.1. |
| Title |
Early History -- |
| Miscellaneous information |
15.2.2. |
| Title |
Implications of the Dynamic Models -- |
| Miscellaneous information |
15.2.3. |
| Title |
Excess Volatility -- |
| Miscellaneous information |
Part III. |
| Title |
Paradigms for Pricing -- |
| Miscellaneous information |
16. |
| Title |
Static Arbitrage Pricing -- |
| Miscellaneous information |
16.1. |
| Title |
Pricing Paradigms: Optimization vs. Arbitrage -- |
| Miscellaneous information |
16.2. |
| Title |
The APT -- |
| Miscellaneous information |
16.3. |
| Title |
Arbitraging Bonds -- |
| Miscellaneous information |
16.4. |
| Title |
Pricing a Simple Derivative Asset -- |
| Miscellaneous information |
17. |
| Title |
Dynamic Arbitrage Pricing -- |
| Miscellaneous information |
17.1. |
| Title |
Dynamic Replication -- |
| Miscellaneous information |
17.2. |
| Title |
Modeling Prices of the Assets -- |
| Miscellaneous information |
17.3. |
| Title |
The Fundamental P.D.E -- |
| Miscellaneous information |
17.3.1. |
| Title |
The Feynman-Kac Solution to the P.D.E -- |
| Miscellaneous information |
17.3.2. |
| Title |
Working out the Expectation -- |
| Miscellaneous information |
17.4. |
| Title |
Allowing Dividends and Time-Varying Rates -- |
| Miscellaneous information |
18. |
| Title |
Properties of Option Prices -- |
| Miscellaneous information |
18.1. |
| Title |
Bounds on Prices of European Options -- |
| Miscellaneous information |
18.2. |
| Title |
Properties of Black-Scholes Prices -- |
| Miscellaneous information |
18.3. |
| Title |
Delta Hedging -- |
| Miscellaneous information |
18.4. |
| Title |
Does Black-Scholes StillWork? -- |
| Miscellaneous information |
18.5. |
| Title |
American-Style Options -- |
| Miscellaneous information |
18.6. |
| Title |
Empirical Project #6 -- |
| Miscellaneous information |
19. |
| Title |
Martingale Pricing -- |
| Miscellaneous information |
19.1. |
| Title |
Some Preparation -- |
| Miscellaneous information |
19.2. |
| Title |
Fundamental Theorem of Asset Pricing -- |
| Miscellaneous information |
19.3. |
| Title |
Implications for Pricing Derivatives -- |
| Miscellaneous information |
19.4. |
| Title |
Applications -- |
| Miscellaneous information |
19.5. |
| Title |
Martingale vs. Equilibrium Pricing -- |
| Miscellaneous information |
19.6. |
| Title |
Numeraires, Short Rates, and E.M.M.s -- |
| Miscellaneous information |
19.7. |
| Title |
Replication & Uniqueness of the E.M.M -- |
| Miscellaneous information |
20. |
| Title |
Modeling Volatility -- |
| Miscellaneous information |
20.1. |
| Title |
Models with Price-Dependent Volatility -- |
| Miscellaneous information |
20.1.1. |
| Title |
The C.E.V. Model -- |
| Miscellaneous information |
20.1.2. |
| Title |
The Hobson-Rogers Model -- |
| Miscellaneous information |
20.2. |
| Title |
ARCH /GARCH Models -- |
| Miscellaneous information |
20.3. |
| Title |
Stochastic Volatility -- |
| Miscellaneous information |
20.4. |
| Title |
Is Replication Possible? -- |
| Miscellaneous information |
21. |
| Title |
Discontinuous Price Processes -- |
| Miscellaneous information |
21.1. |
| Title |
Merton's Jump-Diffusion Model -- |
| Miscellaneous information |
21.2. |
| Title |
The Variance-Gamma Model -- |
| Miscellaneous information |
21.3. |
| Title |
Stock Prices as Branching Processes -- |
| Miscellaneous information |
21.4. |
| Title |
Is Replication Possible? -- |
| Miscellaneous information |
22. |
| Title |
Options on Jump Processes -- |
| Miscellaneous information |
22.1. |
| Title |
Options under Jump-Diffusions -- |
| Miscellaneous information |
22.2. |
| Title |
A Primer on Characteristic Functions -- |
| Miscellaneous information |
22.3. |
| Title |
Using Fourier Methods to Price Options -- |
| Miscellaneous information |
22.4. |
| Title |
Applications to Jump Models -- |
| Miscellaneous information |
23. |
| Title |
Options on S.V. Processes -- |
| Miscellaneous information |
23.1. |
| Title |
Independent Price /Volatility Shocks -- |
| Miscellaneous information |
23.2. |
| Title |
Dependent Price /Volatility Shocks -- |
| Miscellaneous information |
23.3. |
| Title |
Adding Jumps to the S.V. Model -- |
| Miscellaneous information |
23.4. |
| Title |
Further Advances -- |
| Miscellaneous information |
23.5. |
| Title |
Empirical Project #7. |
| 588 ## - SOURCE OF DESCRIPTION NOTE |
|---|
| Source of description note |
Machine converted from AACR2 source record. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
370807 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Investments |
| General subdivision |
Mathematical models |
| 9 (RLIN) |
370808 |
| 907 ## - LOCAL DATA ELEMENT G, LDG (RLIN) |
|---|
| a |
.b11436542 |
| b |
11-07-17 |
| c |
27-10-15 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Koha item type |
Book |
| 945 ## - LOCAL PROCESSING INFORMATION (OCLC) |
|---|
| a |
332.015195 EPP |
| g |
1 |
| i |
A433371B |
| j |
0 |
| l |
cmain |
| o |
- |
| p |
$157.40 |
| q |
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| r |
- |
| s |
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| t |
0 |
| u |
1 |
| v |
0 |
| w |
0 |
| x |
0 |
| y |
.i12892543 |
| z |
29-10-15 |
| 998 ## - LOCAL CONTROL INFORMATION (RLIN) |
|---|
| -- |
b |
| -- |
c |
| Operator's initials, OID (RLIN) |
06-04-16 |
| Cataloger's initials, CIN (RLIN) |
m |
| First date, FD (RLIN) |
a |
| -- |
eng |
| -- |
nju |
| -- |
0 |
