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Security Markets: Stochastic Models (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics)
Darrell Duffie (Ed.)
€ 151.83
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Description for Security Markets: Stochastic Models (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics)
Hardcover. This is an introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting. Editor(s): Duffie, Darrell. Series: Economic Theory, Econometrics, and Mathematical Economics. Num Pages: 250 pages, Illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 160 x 239 x 27. Weight in Grams: 694.
This is a graduate level work covering the economic principles of security markets. Interested readers include students and researchers in economics and finance, as well as financial analysts following the latest theoretical developments in capital asset pricing.
This is a graduate level work covering the economic principles of security markets. Interested readers include students and researchers in economics and finance, as well as financial analysts following the latest theoretical developments in capital asset pricing.
Product Details
Publisher
Emerald Group Publishing Limited
Format
Hardback
Publication date
1988
Series
Economic Theory, Econometrics, and Mathematical Economics
Condition
New
Number of Pages
250
Place of Publication
, United Kingdom
ISBN
9780122233456
SKU
V9780122233456
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
Reviews for Security Markets: Stochastic Models (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics)
Contains extensive and very valuable references to both the mathematical and the financial economics literature. It will be (in fact, it already is) the main reference in the area of dynamic, competitive securities markets models with systematic information.
MATHEMATICAL REVIEWS This is a high-level introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting. The intent is to provide a unified general equilibrium framework for such recent advances in finance as: the Sharpe-Litner Capital Asset Pricing Model and its discrete and continuous time analogues due to Lucas, Merton, and Breden the Black-Scholes Option Pricing Formula and its extensions into Martingale theory by Harrison and Kreps the continuous-time portfolio control models of Merton the term structure theory of Cox, Ingersoll, and Ross.
MATHEMATICAL REVIEWS This is a high-level introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting. The intent is to provide a unified general equilibrium framework for such recent advances in finance as: the Sharpe-Litner Capital Asset Pricing Model and its discrete and continuous time analogues due to Lucas, Merton, and Breden the Black-Scholes Option Pricing Formula and its extensions into Martingale theory by Harrison and Kreps the continuous-time portfolio control models of Merton the term structure theory of Cox, Ingersoll, and Ross.