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_aHG106 _b.E67 2009 |
082 | 0 | 0 |
_a332.015195 _222 |
100 | 1 |
_aEpps, T. W., _eauthor. _91064150 |
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245 | 1 | 0 |
_aQuantitative finance : _bits development, mathematical foundations, and current scope / _cT.W. Epps. |
264 | 1 |
_aHoboken, N.J. : _bWiley, _c[2009] |
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264 | 4 | _c©2009 | |
300 |
_axviii, 401 pages : _billustrations ; _c25 cm |
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336 |
_atext _btxt _2rdacontent |
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337 |
_aunmediated _bn _2rdamedia |
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338 |
_avolume _bnc _2rdacarrier |
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504 | _aIncludes bibliographical references (pages 391-395) and index. | ||
505 | 0 | 0 |
_gPart I. _tPerspective and Preparation -- _g1. _tIntroduction and Overview -- _g1.1. _tAn Elemental View of Assets and Markets -- _g1.1.1. _tAssets as Bundles of Claims -- _g1.1.2. _tFinancial Markets as Transportation Agents -- _g1.1.3. _tWhy Is Transportation Desirable? -- _g1.1.4. _tWhat Vehicles Are Available? -- _g1.1.5. _tWhat Is There to Learn about Assets and Markets? -- _g1.1.6. _tWhy the Need for Quantitative Finance? -- _g1.2. _tWhere We Go from Here -- _g2. _tTools from Calculus and Analysis -- _g2.1. _tSome Basics from Calculus -- _g2.2. _tElements of Measure Theory -- _g2.2.1. _tSets and Collections of Sets -- _g2.2.2. _tSet Functions and Measures -- _g2.3. _tIntegration -- _g2.3.1. _tRiemann-Stieltjes -- _g2.3.2. _tLebesgue /Lebesgue-Stieltjes -- _g2.3.3. _tProperties of the Integral -- _g2.4. _tChanges of Measure -- _g3. _tProbability -- _g3.1. _tProbability Spaces -- _g3.2. _tRandom Variables and Their Distributions -- _g3.3. _tIndependence of R.V.s -- _g3.4. _tExpectation -- _g3.4.1. _tMoments -- _g3.4.2. _tConditional Expectations and Moments -- _g3.4.3. _tGenerating Functions -- _g3.5. _tChanges of Probability Measure -- _g3.6. _tConvergence Concepts -- _g3.7. _tLaws of Large Numbers and Central Limit Theorems -- _g3.8. _tImportant Models for Distributions -- _g3.8.1. _tContinuous Models -- _g3.8.2. _tDiscrete Models -- _gPart II. _tPortfolios and Prices -- _g4. _tInterest and Bond Prices -- _g4.1. _tInterest Rates and Compounding -- _g4.2. _tBond Prices, Yields, and Spot Rates -- _g4.3. _tForward Bond Prices and Rates -- _g4.4. _tEmpirical Project #1 -- _g5. _tModels of Portfolio Choice -- _g5.1. _tModels That Ignore Risk -- _g5.2. _tMean-Variance Portfolio Theory -- _g5.2.1. _tMean-Variance 'Efficient' Portfolios -- _g5.2.2. _tThe Single-Index Model -- _g5.3. _tEmpirical Project #2 -- _g6. _tPrices in a Mean-VarianceWorld -- _g6.1. _tThe Assumptions -- _g6.2. _tThe Derivation -- _g6.3. _tInterpretation -- _g6.4. _tEmpirical Evidence -- _g6.5. _tSome Reflections -- _g7. _tRational Decisions under Risk -- _g7.1. _tThe Setting and the Axioms -- _g7.2. _tThe Expected-Utility Theorem -- _g7.3. _tApplying Expected-Utility Theory -- _g7.3.1. _tImplementing EU Theory in Financial Modeling -- _g7.3.2. _tInferring Utilities and Beliefs -- _g7.3.3. _tQualitative Properties of Utility Functions -- _g7.3.4. _tMeasures of Risk Aversion -- _g7.3.5. _tExamples of Utility Functions -- _g7.3.6. _tSome Qualitative Implications of the EU Model -- _g7.3.7. _tStochastic Dominance -- _g7.4. _tIs the Markowitz Investor Rational? -- _g7.5. _tEmpirical Project #3 -- _g8. _tObserved Decisions under Risk -- _g8.1. _tEvidence about Choices under Risk -- _g8.1.1. _tAllais? Paradox -- _g8.1.2. _tProspect Theory -- _g8.1.3. _tPreference Reversals -- _g8.1.4. _tRisk Aversion and Diminishing Marginal Utility -- _g8.2. _tToward 'Behavioral' Finance -- _g9. _tDistributions of Returns -- _g9.1. _tSome Background -- _g9.2. _tThe Normal /Lognormal Model -- _g9.3. _tThe Stable Model -- _g9.4. _tMixture Models -- _g9.5. _tComparison and Evaluation -- _g10. _tDynamics of Prices and Returns -- _g10.1. _tEvidence for First-Moment Independence -- _g10.2. _tRandom Walks and Martingales -- _g10.3. _tModeling Prices in Continuous Time -- _g10.3.1. _tPoisson and Compound-Poisson Processes -- _g10.3.2. _tBrownian Motions -- _g10.3.3. _tMartingales in Continuous Time -- _g10.4. _tEmpirical Project #4 -- _g11. _tStochastic Calculus -- _g11.1. _tStochastic Integrals -- _g11.1.1. _tIto Integrals with Respect to a B.m -- _g11.1.2. _tFrom It^o Integrals to It^o Processes -- _g11.1.3. _tQuadratic-Variations of It^o Processes -- _g11.1.4. _tIntegrals with Respect to It^o Processes -- _g11.2. _tStochastic Differentials -- _g11.3. _tIto's Formula for Differentials -- _g11.3.1. _tFunctions of a B.m. Alone -- _g11.3.2. _tFunctions of Time and a B.m -- _g11.3.3. _tFunctions of Time and General It^o Processes -- _g12. _tPortfolio Decisions over Time -- _g12.1. _tThe Consumption-Investment Problem -- _g12.2. _tDynamic Portfolio Decisions -- _g12.2.1. _tOptimizing via Dynamic Programming -- _g12.2.2. _tA Formulation with Additively-Separable Utility -- _g13. _tOptimal Growth -- _g13.1. _tOptimal Growth in Discrete Time -- _g13.2. _tOptimal Growth in Continuous Time -- _g13.3. _tSome Qualifications -- _g13.4. _tEmpirical Project #5 -- _g14. _tDynamic Models for Prices -- _g14.1. _tDynamic Optimization (Again) -- _g14.2. _tStatic Implications: The CAPM -- _g14.3. _tDynamic Implications: The Lucas Model -- _g14.4. _tAssessment -- _g14.4.1. _tThe Puzzles -- _g14.4.2. _tThe Patches -- _g14.4.3. _tSome Reflections -- _g15. _tEfficient Markets -- _g15.1. _tEvent Studies -- _g15.1.1. _tMethods -- _g15.1.2. _tA Sample Study -- _g15.2. _tDynamic Tests -- _g15.2.1. _tEarly History -- _g15.2.2. _tImplications of the Dynamic Models -- _g15.2.3. _tExcess Volatility -- _gPart III. _tParadigms for Pricing -- _g16. _tStatic Arbitrage Pricing -- _g16.1. _tPricing Paradigms: Optimization vs. Arbitrage -- _g16.2. _tThe APT -- _g16.3. _tArbitraging Bonds -- _g16.4. _tPricing a Simple Derivative Asset -- _g17. _tDynamic Arbitrage Pricing -- _g17.1. _tDynamic Replication -- _g17.2. _tModeling Prices of the Assets -- _g17.3. _tThe Fundamental P.D.E -- _g17.3.1. _tThe Feynman-Kac Solution to the P.D.E -- _g17.3.2. _tWorking out the Expectation -- _g17.4. _tAllowing Dividends and Time-Varying Rates -- _g18. _tProperties of Option Prices -- _g18.1. _tBounds on Prices of European Options -- _g18.2. _tProperties of Black-Scholes Prices -- _g18.3. _tDelta Hedging -- _g18.4. _tDoes Black-Scholes StillWork? -- _g18.5. _tAmerican-Style Options -- _g18.6. _tEmpirical Project #6 -- _g19. _tMartingale Pricing -- _g19.1. _tSome Preparation -- _g19.2. _tFundamental Theorem of Asset Pricing -- _g19.3. _tImplications for Pricing Derivatives -- _g19.4. _tApplications -- _g19.5. _tMartingale vs. Equilibrium Pricing -- _g19.6. _tNumeraires, Short Rates, and E.M.M.s -- _g19.7. _tReplication & Uniqueness of the E.M.M -- _g20. _tModeling Volatility -- _g20.1. _tModels with Price-Dependent Volatility -- _g20.1.1. _tThe C.E.V. Model -- _g20.1.2. _tThe Hobson-Rogers Model -- _g20.2. _tARCH /GARCH Models -- _g20.3. _tStochastic Volatility -- _g20.4. _tIs Replication Possible? -- _g21. _tDiscontinuous Price Processes -- _g21.1. _tMerton's Jump-Diffusion Model -- _g21.2. _tThe Variance-Gamma Model -- _g21.3. _tStock Prices as Branching Processes -- _g21.4. _tIs Replication Possible? -- _g22. _tOptions on Jump Processes -- _g22.1. _tOptions under Jump-Diffusions -- _g22.2. _tA Primer on Characteristic Functions -- _g22.3. _tUsing Fourier Methods to Price Options -- _g22.4. _tApplications to Jump Models -- _g23. _tOptions on S.V. Processes -- _g23.1. _tIndependent Price /Volatility Shocks -- _g23.2. _tDependent Price /Volatility Shocks -- _g23.3. _tAdding Jumps to the S.V. Model -- _g23.4. _tFurther Advances -- _g23.5. _tEmpirical Project #7. |
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