Download or read book Multiperiod Securities Markets with Differential Information written by Darrell Duffie and published by . This book was released on 1985 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multiperiod Securities Markets With Differential Information written by Darrell Duffie and published by Forgotten Books. This book was released on 2018-02-09 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Multiperiod Securities Markets, With Differential Information: Martingales and Resolution Times We model multiperiod securities markets with differential information. A price system that admits no free lunches is related to martingales when agents have rational expec tations. We introduce a concept called resolution time and show that a better informed agent and a worse informed agent must agree on the resolution times of commonly mar keted events if they have rational expectations and if there are no free lunches. It then follows that if all the elementary events are marketed for a worse informed agent then any price system that admits no free lunches to a better informed agent must dynami cally equalize the information asymmetry between the two. We provide an example of. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Download or read book Multiperiod Securities Markets With Differential Information written by Darrell Duffie and published by Legare Street Press. This book was released on 2023-07-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous examination of the role of information and martingales in multiperiod securities trading, and their impact on resolution times. Essential reading for economists and financial professionals. This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Download or read book Multiperiod Security Markets with Differential Information written by Darrell Duffie and published by . This book was released on 1985 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer. This book was released on 2017-01-10 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Download or read book Arbitrage Theory in Continuous Time written by Tomas Björk and published by Oxford University Press. This book was released on 2004-03 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sounds mathematical principles with economic applications. Concentrating on the probabilistics theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises and suggests further reading in each chapter. In this substantially extended new edition, Bjork has added separate and complete chapters on measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of arbitrage pricing: the classical delta-hedging and the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
Download or read book Stochastic Integration and Differential Equations written by Philip Protter and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of this book began with an invitation to give a course at the Third Chilean Winter School in Probability and Statistics, at Santiago de Chile, in July, 1984. Faced with the problem of teaching stochastic integration in only a few weeks, I realized that the work of C. Dellacherie [2] provided an outline for just such a pedagogic approach. I developed this into aseries of lectures (Protter [6]), using the work of K. Bichteler [2], E. Lenglart [3] and P. Protter [7], as well as that of Dellacherie. I then taught from these lecture notes, expanding and improving them, in courses at Purdue University, the University of Wisconsin at Madison, and the University of Rouen in France. I take this opportunity to thank these institut ions and Professor Rolando Rebolledo for my initial invitation to Chile. This book assumes the reader has some knowledge of the theory of stochastic processes, including elementary martingale theory. While we have recalled the few necessary martingale theorems in Chap. I, we have not provided proofs, as there are already many excellent treatments of martingale theory readily available (e. g. , Breiman [1], Dellacherie-Meyer [1,2], or Ethier Kurtz [1]). There are several other texts on stochastic integration, all of which adopt to some extent the usual approach and thus require the general theory. The books of Elliott [1], Kopp [1], Metivier [1], Rogers-Williams [1] and to a much lesser extent Letta [1] are examples.
Download or read book Mathematics of Derivative Securities written by Michael A. H. Dempster and published by Cambridge University Press. This book was released on 1997-10-13 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.
Download or read book Term Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Download or read book Stochastic Processes and Applications to Mathematical Finance written by Jiro Akahori and published by World Scientific. This book was released on 2004 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.
Download or read book Stochastic Processes And Applications To Mathematical Finance Proceedings Of The Ritsumeikan International Symposium written by Jiro Akahori and published by World Scientific. This book was released on 2004-07-06 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Download or read book Multiperiod Security Markets with Diversely Informed Agents written by David Runge Cariño and published by . This book was released on 1987 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Point Processes and Jump Diffusions written by Tomas Björk and published by Cambridge University Press. This book was released on 2021-06-17 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research.
Download or read book Financial Mathematics written by Bruno Biais and published by Springer. This book was released on 2006-11-15 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level and sufficient familiarity with probabilistic methods, in particular stochastic analysis.
Download or read book Stochastic Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.
