This book is a textbook at the Ph.D. or Masters in Quantitative Finance level. It covers single-period, discrete-time, and continuous-time financial models. It provides introductions to many current research topics, and each chapter contains exercises.
This book is a textbook at the Ph.D. or Masters in Quantitative Finance level. It covers single-period, discrete-time, and continuous-time financial models. It provides introductions to many current research topics, and each chapter contains exercises.
Produktdetails
Produktdetails
Financial Management Association Survey and Synthesis Series
Kerry Back is the J. Howard Creekmore Professor of Finance at Rice University's Jones Graduate School of Business and a Professor of Economics in the Rice University School of Social Sciences. He previously served on the faculties of Northwestern University, Indiana University, Washington University in St. Louis, and Texas A&M University. At Washington University in St. Louis, he served as the Associate Dean for Academic Affairs of the Olin School of Business and was named a University Distinguished Faculty Member. He received faculty research awards at Texas A&M and at Rice University. Currently, he teaches introductory and advanced asset pricing theory to PhD students in the Jones School and in the Department of Economics. His research interests are in the areas of investments and market design, and he has served as an editor of the Review of Financial Studies, a co-editor of Finance & Stochastics, and an associate editor of the Journal of Finance and other journals.
Inhaltsangabe
I. SINGLE-PERIOD MODELS 1. Utility and Risk Aversion 2. Portfolio Choice 3. Stochastic Discount Factors 4. Equilibrium and Efficiency 5. Mean-Variance Analysis 6. Factor Models 7. Representative Investors II. DYNAMIC MODELS 8. Dynamic Securities Markets 9. Dynamic Portfolio Choice 10. Dynamic Asset Pricing 11. Explaining Puzzles 12. Brownian Motion and Stochastic Calculus 13. Continuous-Time Markets 14. Continuous-Time Portfolio Choice and Pricing 15. Continuous-Time Topics III. DERIVATIVE SECURITIES 16. Option Pricing 17. Forwards, Futures, and More Option Pricing 18. Term Structure Models 19. Perpetual Options and the Leland Model 20. Real Options and q Theory IV. BELIEFS, INFORMATION, AND PREFERENCES 21. Heterogeneous Beliefs 22. Rational Expectations Equilibria 23. Learning 24. Information, Strategic Trading, and Liquidity 25. Alternative Preferences
