- Hardcover: 250 pages
- Publisher: Academic Press (1 Sep 1988)
- Language English
- ISBN-10: 012223345X
- ISBN-13: 978-0122233456
- Product Dimensions: 23.2 x 15.4 x 2.4 cm
- Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)
- Amazon Bestsellers Rank: 1,703,666 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Review
"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.
Product Description
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.
Inside This Book
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First Sentence
We first introduce several basic principles of security markets. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
We first introduce several basic principles of security markets. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
Format:Hardcover
A must for MSc/MA/Phd students who want to gain a complete understanding of modelling of financial markets and financial assets - the detail here puts other books to shame. Check auctions for bargains if not available here.
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