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This book presents a course in quantitative finance, including exercises and worked solutions. It emphasizes instruction and technique in covering the essential topics for a quantitative finance survey course: portfolio theory, decision theory, pricing of primary assets, pricing of derivatives, and the empirical behavior of prices. This resource adheres to a self-teaching presentation style, and presents math tools only as their applications are required. Important formulas and derivations are worked out in enough detail so that readers learn associated techniques as well as results.
This book presents a course in quantitative finance, including exercises and worked solutions. It emphasizes instruction and technique in covering the essential topics for a quantitative finance survey course: portfolio theory, decision theory, pricing of primary assets, pricing of derivatives, and the empirical behavior of prices. This resource adheres to a self-teaching presentation style, and presents math tools only as their applications are required. Important formulas and derivations are worked out in enough detail so that readers learn associated techniques as well as results.
Produktdetails
- Produktdetails
- Verlag: John Wiley & Sons / Wiley
- Artikelnr. des Verlages: 14543199000
- Seitenzahl: 448
- Erscheinungstermin: 16. März 2009
- Englisch
- Abmessung: 242mm x 162mm x 24mm
- Gewicht: 720g
- ISBN-13: 9780470431993
- ISBN-10: 0470431997
- Artikelnr.: 25836932
- Verlag: John Wiley & Sons / Wiley
- Artikelnr. des Verlages: 14543199000
- Seitenzahl: 448
- Erscheinungstermin: 16. März 2009
- Englisch
- Abmessung: 242mm x 162mm x 24mm
- Gewicht: 720g
- ISBN-13: 9780470431993
- ISBN-10: 0470431997
- Artikelnr.: 25836932
T. W. Epps, PhD, is Professor Emeritus of both Economics and Statistics at the University of Virginia.?A member of the American Finance Association, the American Statistical Association, and the Institute of Mathematical Statistics, Dr. Epps has published numerous journal articles in the areas of statistical theory, financial markets, time series analysis, and econometrics.
Preface. PART I: PERSPECTIVE AND PREPARATION. 1. Introduction and Overview.
1.1 An Elemental View of Assets and Markets. 1.2 Where We Go from Here. 2.
Tools from Calculus and Analysis. 2.1 Some Basics from Calculus. 2.2
Elements of Measure Theory. 2.3 Integration. 2.4 Changes of Measure. 3.
Probability. 3.1 Probability Spaces. 3.2 Random Variables and Their
Distributions. 3.3 Independence of R.V.s. 3.4 Expectation. 3.5 Changes of
Probability Measure. 3.6 Convergence Concepts. 3.7 Laws of Large Numbers
and Central Limit Theorems. 3.8 Important Models for Distributions. PART
II: PORTFOLIOS AND PRICES. 4. Interest and Bond Prices. 4.1 Interest Rates
and Compounding. 4.2 Bond Prices, Yields, and Spot Rates. 4.3 Forward Bond
Prices and Rates. 4.4 Empirical Project #1. 5. Models of Portfolio Choice.
5.1 Models That Ignore Risk. 5.2 Mean-Variance Portfolio Theory. 5.3
Empirical Project #2. 6. Prices in a Mean-VarianceWorld. 6.1 The
Assumptions. 6.2 The Derivation. 6.3 Interpretation. 6.4 Empirical
Evidence. 6.5 Some Reflections. 7. Rational Decisions under Risk. 7.1 The
Setting and the Axioms. 7.2 The Expected-Utility Theorem. 7.3 Applying
Expected-Utility Theory. 7.4 Is the Markowitz Investor Rational? 7.5
Empirical Project #3. 8. Observed Decisions under Risk. 8.1 Evidence about
Choices under Risk. 8.2 Toward 'Behavioral' Finance. 9. Distributions of
Returns. 9.1 Some Background. 9.2 The Normal/Lognormal Model. 9.3 The
Stable Model. 9.4 Mixture Models. 9.5 Comparison and Evaluation. 10.
Dynamics of Prices and Returns. 10.1 Evidence for First-Moment
Independence. 10.2 Random Walks and Martingales. 10.3 Modeling Prices in
Continuous Time. 10.4 Empirical Project #4. 11. Stochastic Calculus. 11.1
Stochastic Integrals. 11.2 Stochastic Differentials. 11.3 Ito's Formula for
Differentials. 12. Portfolio Decisions over Time. 12.1 The
Consumption-Investment Problem. 12.2 Dynamic Portfolio Decisions. 13.
Optimal Growth. 13.1 Optimal Growth in Discrete Time. 13.2 Optimal Growth
in Continuous Time. 13.3 Some Qualifications. 13.4 Empirical Project #5.
14. Dynamic Models for Prices. 14.1 Dynamic Optimization (Again). 14.2
Static Implications: The CAPM. 14.3 Dynamic Implications: The Lucas Model.
14.4 Assessment. 15. Efficient Markets. 15.1 Event Studies. 15.2 Dynamic
Tests. PART III: PARADIGMS FOR PRICING. 16. Static Arbitrage Pricing. 16.1
Pricing Paradigms: Optimization vs. Arbitrage. 16.2 The APT. 16.3
Arbitraging Bonds. 16.4 Pricing a Simple Derivative Asset. 17. Dynamic
Arbitrage Pricing. 17.1 Dynamic Replication. 17.2 Modeling Prices of the
Assets. 17.3 The Fundamental P.D.E. 17.4 Allowing Dividends and
Time-Varying Rates. 18. Properties of Option Prices. 18.1 Bounds on Prices
of European Options. 18.2 Properties of Black-Scholes Prices. 18.3 Delta
Hedging. 18.4 Does Black-Scholes StillWork? 18.5 American-Style Options.
18.6 Empirical Project #6. 19. Martingale Pricing. 19.1 Some Preparation.
19.2 Fundamental Theorem of Asset Pricing. 19.3 Implications for Pricing
Derivatives. 19.4 Applications. 19.5 Martingale vs. Equilibrium Pricing.
19.6 Numeraires, Short Rates, and E.M.M.s. 19.7 Replication & Uniqueness of
the E.M.M. 20. Modeling Volatility. 20.1 Models with Price-Dependent
Volatility. 20.2 ARCH/GARCH Models. 20.3 Stochastic Volatility. 20.4 Is
Replication Possible? 21. Discontinuous Price Processes. 21.1 Merton's
Jump-Diffusion Model. 21.2 The Variance-Gamma Model. 21.3 Stock Prices as
Branching Processes. 21.4 Is Replication Possible? 22. Options on Jump
Processes. 22.1 Options under Jump-Diffusions. 22.2 A Primer on
Characteristic Functions. 22.3 Using Fourier Methods to Price Options. 22.4
Applications to Jump Models. 23. Options on S.V. Processes. 23.1
Independent Price/Volatility Shocks. 23.2 Dependent Price/Volatility
Shocks. 23.3 Adding Jumps to the S.V. Model. 23.4 Further Advances. 23.5
Empirical Project #7. Solutions to Exercises. References. Index.
1.1 An Elemental View of Assets and Markets. 1.2 Where We Go from Here. 2.
Tools from Calculus and Analysis. 2.1 Some Basics from Calculus. 2.2
Elements of Measure Theory. 2.3 Integration. 2.4 Changes of Measure. 3.
Probability. 3.1 Probability Spaces. 3.2 Random Variables and Their
Distributions. 3.3 Independence of R.V.s. 3.4 Expectation. 3.5 Changes of
Probability Measure. 3.6 Convergence Concepts. 3.7 Laws of Large Numbers
and Central Limit Theorems. 3.8 Important Models for Distributions. PART
II: PORTFOLIOS AND PRICES. 4. Interest and Bond Prices. 4.1 Interest Rates
and Compounding. 4.2 Bond Prices, Yields, and Spot Rates. 4.3 Forward Bond
Prices and Rates. 4.4 Empirical Project #1. 5. Models of Portfolio Choice.
5.1 Models That Ignore Risk. 5.2 Mean-Variance Portfolio Theory. 5.3
Empirical Project #2. 6. Prices in a Mean-VarianceWorld. 6.1 The
Assumptions. 6.2 The Derivation. 6.3 Interpretation. 6.4 Empirical
Evidence. 6.5 Some Reflections. 7. Rational Decisions under Risk. 7.1 The
Setting and the Axioms. 7.2 The Expected-Utility Theorem. 7.3 Applying
Expected-Utility Theory. 7.4 Is the Markowitz Investor Rational? 7.5
Empirical Project #3. 8. Observed Decisions under Risk. 8.1 Evidence about
Choices under Risk. 8.2 Toward 'Behavioral' Finance. 9. Distributions of
Returns. 9.1 Some Background. 9.2 The Normal/Lognormal Model. 9.3 The
Stable Model. 9.4 Mixture Models. 9.5 Comparison and Evaluation. 10.
Dynamics of Prices and Returns. 10.1 Evidence for First-Moment
Independence. 10.2 Random Walks and Martingales. 10.3 Modeling Prices in
Continuous Time. 10.4 Empirical Project #4. 11. Stochastic Calculus. 11.1
Stochastic Integrals. 11.2 Stochastic Differentials. 11.3 Ito's Formula for
Differentials. 12. Portfolio Decisions over Time. 12.1 The
Consumption-Investment Problem. 12.2 Dynamic Portfolio Decisions. 13.
Optimal Growth. 13.1 Optimal Growth in Discrete Time. 13.2 Optimal Growth
in Continuous Time. 13.3 Some Qualifications. 13.4 Empirical Project #5.
14. Dynamic Models for Prices. 14.1 Dynamic Optimization (Again). 14.2
Static Implications: The CAPM. 14.3 Dynamic Implications: The Lucas Model.
14.4 Assessment. 15. Efficient Markets. 15.1 Event Studies. 15.2 Dynamic
Tests. PART III: PARADIGMS FOR PRICING. 16. Static Arbitrage Pricing. 16.1
Pricing Paradigms: Optimization vs. Arbitrage. 16.2 The APT. 16.3
Arbitraging Bonds. 16.4 Pricing a Simple Derivative Asset. 17. Dynamic
Arbitrage Pricing. 17.1 Dynamic Replication. 17.2 Modeling Prices of the
Assets. 17.3 The Fundamental P.D.E. 17.4 Allowing Dividends and
Time-Varying Rates. 18. Properties of Option Prices. 18.1 Bounds on Prices
of European Options. 18.2 Properties of Black-Scholes Prices. 18.3 Delta
Hedging. 18.4 Does Black-Scholes StillWork? 18.5 American-Style Options.
18.6 Empirical Project #6. 19. Martingale Pricing. 19.1 Some Preparation.
19.2 Fundamental Theorem of Asset Pricing. 19.3 Implications for Pricing
Derivatives. 19.4 Applications. 19.5 Martingale vs. Equilibrium Pricing.
19.6 Numeraires, Short Rates, and E.M.M.s. 19.7 Replication & Uniqueness of
the E.M.M. 20. Modeling Volatility. 20.1 Models with Price-Dependent
Volatility. 20.2 ARCH/GARCH Models. 20.3 Stochastic Volatility. 20.4 Is
Replication Possible? 21. Discontinuous Price Processes. 21.1 Merton's
Jump-Diffusion Model. 21.2 The Variance-Gamma Model. 21.3 Stock Prices as
Branching Processes. 21.4 Is Replication Possible? 22. Options on Jump
Processes. 22.1 Options under Jump-Diffusions. 22.2 A Primer on
Characteristic Functions. 22.3 Using Fourier Methods to Price Options. 22.4
Applications to Jump Models. 23. Options on S.V. Processes. 23.1
Independent Price/Volatility Shocks. 23.2 Dependent Price/Volatility
Shocks. 23.3 Adding Jumps to the S.V. Model. 23.4 Further Advances. 23.5
Empirical Project #7. Solutions to Exercises. References. Index.
Preface. PART I: PERSPECTIVE AND PREPARATION. 1. Introduction and Overview.
1.1 An Elemental View of Assets and Markets. 1.2 Where We Go from Here. 2.
Tools from Calculus and Analysis. 2.1 Some Basics from Calculus. 2.2
Elements of Measure Theory. 2.3 Integration. 2.4 Changes of Measure. 3.
Probability. 3.1 Probability Spaces. 3.2 Random Variables and Their
Distributions. 3.3 Independence of R.V.s. 3.4 Expectation. 3.5 Changes of
Probability Measure. 3.6 Convergence Concepts. 3.7 Laws of Large Numbers
and Central Limit Theorems. 3.8 Important Models for Distributions. PART
II: PORTFOLIOS AND PRICES. 4. Interest and Bond Prices. 4.1 Interest Rates
and Compounding. 4.2 Bond Prices, Yields, and Spot Rates. 4.3 Forward Bond
Prices and Rates. 4.4 Empirical Project #1. 5. Models of Portfolio Choice.
5.1 Models That Ignore Risk. 5.2 Mean-Variance Portfolio Theory. 5.3
Empirical Project #2. 6. Prices in a Mean-VarianceWorld. 6.1 The
Assumptions. 6.2 The Derivation. 6.3 Interpretation. 6.4 Empirical
Evidence. 6.5 Some Reflections. 7. Rational Decisions under Risk. 7.1 The
Setting and the Axioms. 7.2 The Expected-Utility Theorem. 7.3 Applying
Expected-Utility Theory. 7.4 Is the Markowitz Investor Rational? 7.5
Empirical Project #3. 8. Observed Decisions under Risk. 8.1 Evidence about
Choices under Risk. 8.2 Toward 'Behavioral' Finance. 9. Distributions of
Returns. 9.1 Some Background. 9.2 The Normal/Lognormal Model. 9.3 The
Stable Model. 9.4 Mixture Models. 9.5 Comparison and Evaluation. 10.
Dynamics of Prices and Returns. 10.1 Evidence for First-Moment
Independence. 10.2 Random Walks and Martingales. 10.3 Modeling Prices in
Continuous Time. 10.4 Empirical Project #4. 11. Stochastic Calculus. 11.1
Stochastic Integrals. 11.2 Stochastic Differentials. 11.3 Ito's Formula for
Differentials. 12. Portfolio Decisions over Time. 12.1 The
Consumption-Investment Problem. 12.2 Dynamic Portfolio Decisions. 13.
Optimal Growth. 13.1 Optimal Growth in Discrete Time. 13.2 Optimal Growth
in Continuous Time. 13.3 Some Qualifications. 13.4 Empirical Project #5.
14. Dynamic Models for Prices. 14.1 Dynamic Optimization (Again). 14.2
Static Implications: The CAPM. 14.3 Dynamic Implications: The Lucas Model.
14.4 Assessment. 15. Efficient Markets. 15.1 Event Studies. 15.2 Dynamic
Tests. PART III: PARADIGMS FOR PRICING. 16. Static Arbitrage Pricing. 16.1
Pricing Paradigms: Optimization vs. Arbitrage. 16.2 The APT. 16.3
Arbitraging Bonds. 16.4 Pricing a Simple Derivative Asset. 17. Dynamic
Arbitrage Pricing. 17.1 Dynamic Replication. 17.2 Modeling Prices of the
Assets. 17.3 The Fundamental P.D.E. 17.4 Allowing Dividends and
Time-Varying Rates. 18. Properties of Option Prices. 18.1 Bounds on Prices
of European Options. 18.2 Properties of Black-Scholes Prices. 18.3 Delta
Hedging. 18.4 Does Black-Scholes StillWork? 18.5 American-Style Options.
18.6 Empirical Project #6. 19. Martingale Pricing. 19.1 Some Preparation.
19.2 Fundamental Theorem of Asset Pricing. 19.3 Implications for Pricing
Derivatives. 19.4 Applications. 19.5 Martingale vs. Equilibrium Pricing.
19.6 Numeraires, Short Rates, and E.M.M.s. 19.7 Replication & Uniqueness of
the E.M.M. 20. Modeling Volatility. 20.1 Models with Price-Dependent
Volatility. 20.2 ARCH/GARCH Models. 20.3 Stochastic Volatility. 20.4 Is
Replication Possible? 21. Discontinuous Price Processes. 21.1 Merton's
Jump-Diffusion Model. 21.2 The Variance-Gamma Model. 21.3 Stock Prices as
Branching Processes. 21.4 Is Replication Possible? 22. Options on Jump
Processes. 22.1 Options under Jump-Diffusions. 22.2 A Primer on
Characteristic Functions. 22.3 Using Fourier Methods to Price Options. 22.4
Applications to Jump Models. 23. Options on S.V. Processes. 23.1
Independent Price/Volatility Shocks. 23.2 Dependent Price/Volatility
Shocks. 23.3 Adding Jumps to the S.V. Model. 23.4 Further Advances. 23.5
Empirical Project #7. Solutions to Exercises. References. Index.
1.1 An Elemental View of Assets and Markets. 1.2 Where We Go from Here. 2.
Tools from Calculus and Analysis. 2.1 Some Basics from Calculus. 2.2
Elements of Measure Theory. 2.3 Integration. 2.4 Changes of Measure. 3.
Probability. 3.1 Probability Spaces. 3.2 Random Variables and Their
Distributions. 3.3 Independence of R.V.s. 3.4 Expectation. 3.5 Changes of
Probability Measure. 3.6 Convergence Concepts. 3.7 Laws of Large Numbers
and Central Limit Theorems. 3.8 Important Models for Distributions. PART
II: PORTFOLIOS AND PRICES. 4. Interest and Bond Prices. 4.1 Interest Rates
and Compounding. 4.2 Bond Prices, Yields, and Spot Rates. 4.3 Forward Bond
Prices and Rates. 4.4 Empirical Project #1. 5. Models of Portfolio Choice.
5.1 Models That Ignore Risk. 5.2 Mean-Variance Portfolio Theory. 5.3
Empirical Project #2. 6. Prices in a Mean-VarianceWorld. 6.1 The
Assumptions. 6.2 The Derivation. 6.3 Interpretation. 6.4 Empirical
Evidence. 6.5 Some Reflections. 7. Rational Decisions under Risk. 7.1 The
Setting and the Axioms. 7.2 The Expected-Utility Theorem. 7.3 Applying
Expected-Utility Theory. 7.4 Is the Markowitz Investor Rational? 7.5
Empirical Project #3. 8. Observed Decisions under Risk. 8.1 Evidence about
Choices under Risk. 8.2 Toward 'Behavioral' Finance. 9. Distributions of
Returns. 9.1 Some Background. 9.2 The Normal/Lognormal Model. 9.3 The
Stable Model. 9.4 Mixture Models. 9.5 Comparison and Evaluation. 10.
Dynamics of Prices and Returns. 10.1 Evidence for First-Moment
Independence. 10.2 Random Walks and Martingales. 10.3 Modeling Prices in
Continuous Time. 10.4 Empirical Project #4. 11. Stochastic Calculus. 11.1
Stochastic Integrals. 11.2 Stochastic Differentials. 11.3 Ito's Formula for
Differentials. 12. Portfolio Decisions over Time. 12.1 The
Consumption-Investment Problem. 12.2 Dynamic Portfolio Decisions. 13.
Optimal Growth. 13.1 Optimal Growth in Discrete Time. 13.2 Optimal Growth
in Continuous Time. 13.3 Some Qualifications. 13.4 Empirical Project #5.
14. Dynamic Models for Prices. 14.1 Dynamic Optimization (Again). 14.2
Static Implications: The CAPM. 14.3 Dynamic Implications: The Lucas Model.
14.4 Assessment. 15. Efficient Markets. 15.1 Event Studies. 15.2 Dynamic
Tests. PART III: PARADIGMS FOR PRICING. 16. Static Arbitrage Pricing. 16.1
Pricing Paradigms: Optimization vs. Arbitrage. 16.2 The APT. 16.3
Arbitraging Bonds. 16.4 Pricing a Simple Derivative Asset. 17. Dynamic
Arbitrage Pricing. 17.1 Dynamic Replication. 17.2 Modeling Prices of the
Assets. 17.3 The Fundamental P.D.E. 17.4 Allowing Dividends and
Time-Varying Rates. 18. Properties of Option Prices. 18.1 Bounds on Prices
of European Options. 18.2 Properties of Black-Scholes Prices. 18.3 Delta
Hedging. 18.4 Does Black-Scholes StillWork? 18.5 American-Style Options.
18.6 Empirical Project #6. 19. Martingale Pricing. 19.1 Some Preparation.
19.2 Fundamental Theorem of Asset Pricing. 19.3 Implications for Pricing
Derivatives. 19.4 Applications. 19.5 Martingale vs. Equilibrium Pricing.
19.6 Numeraires, Short Rates, and E.M.M.s. 19.7 Replication & Uniqueness of
the E.M.M. 20. Modeling Volatility. 20.1 Models with Price-Dependent
Volatility. 20.2 ARCH/GARCH Models. 20.3 Stochastic Volatility. 20.4 Is
Replication Possible? 21. Discontinuous Price Processes. 21.1 Merton's
Jump-Diffusion Model. 21.2 The Variance-Gamma Model. 21.3 Stock Prices as
Branching Processes. 21.4 Is Replication Possible? 22. Options on Jump
Processes. 22.1 Options under Jump-Diffusions. 22.2 A Primer on
Characteristic Functions. 22.3 Using Fourier Methods to Price Options. 22.4
Applications to Jump Models. 23. Options on S.V. Processes. 23.1
Independent Price/Volatility Shocks. 23.2 Dependent Price/Volatility
Shocks. 23.3 Adding Jumps to the S.V. Model. 23.4 Further Advances. 23.5
Empirical Project #7. Solutions to Exercises. References. Index.