Security Markets by Darrell Duffie
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.
"Contains extensive and very valuable references to both the mathematical and the financial economics literatureIt 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.
Darrell Duffie has been writing about financial markets since 1984. He is a Fellow of the American Academy of Arts and Sciences, a Fellow and member of the Council of the Econometric Society, and a Research Associate of the National Bureau of Economic Research. He is a member of the Financial
Advisory Roundtable of the New York Federal Reserve Bank, and a member of the board of directors of Moody's Corporation. Prof. Duffie was the President of the American Finance Association until January, 2010. In 2003, he was awarded the SunGard/IAFE Financial Engineer of the Year Award from the
International Association of Financial Engineers.
| SKU | Nicht verfügbar |
| ISBN 13 | 9780122233456 |
| ISBN 10 | 012223345X |
| Titel | Security Markets |
| Autor | Darrell Duffie |
| Serie | Economic Theory Econometrics And Mathematical Economics |
| Buchzustand | Nicht verfügbar |
| Verlag | Emerald Publishing Limited |
| Erscheinungsjahr | 1988-07-28 |
| Seitenanzahl | 250 |
| Hinweis auf dem Einband | Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden. |
| Hinweis | Nicht verfügbar |