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035 _a(ATU)b11436542
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050 0 0 _aHG106
_b.E67 2009
082 0 0 _a332.015195
_222
100 1 _aEpps, T. W.,
_eauthor.
_91064150
245 1 0 _aQuantitative finance :
_bits development, mathematical foundations, and current scope /
_cT.W. Epps.
264 1 _aHoboken, N.J. :
_bWiley,
_c[2009]
264 4 _c©2009
300 _axviii, 401 pages :
_billustrations ;
_c25 cm
336 _atext
_btxt
_2rdacontent
337 _aunmediated
_bn
_2rdamedia
338 _avolume
_bnc
_2rdacarrier
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.
588 _aMachine converted from AACR2 source record.
650 0 _aFinance
_xMathematical models.
_9370807
650 0 _aInvestments
_xMathematical models
_9370808
907 _a.b11436542
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