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Item type | Location | Call Number | Status | Notes | Date Due |
---|---|---|---|---|---|
Book | AUM Main Library | 332.015195 E644 (Browse Shelf) | Available | JBC/2012/6152 |
Includes bibliographical references (p. 391-395) and index.
Introduction and overview -- Tools from calculus and analysis -- Probability -- Interest and bond prices -- Models of portfolio choice -- Prices in a mean-variance world -- Rational decisions under risk -- Observed decisions under risk -- Distributions of returns -- Dynamics of prices and returns -- Stochastic calculus -- Portfolio decisions over time -- Optimal growth -- Dynamic models for prices -- Efficient markets -- Static arbitrage pricing -- Dunamic arbitrage pricing -- Properties of option prices -- Martingale pricing -- Modeling volatility -- Discontinuous price processes -- Options on jump processes -- Options on stochastic volatility processes.
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