Prices in financial markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York ; Oxford
Oxford University Press
1990
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xv, 342 Seiten |
| ISBN: | 0195053125 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV004319025 | ||
| 003 | DE-604 | ||
| 005 | 20240326 | ||
| 007 | t | ||
| 008 | 910418s1990 xxu |||| 00||| engod | ||
| 020 | |a 0195053125 |9 0-19-505312-5 | ||
| 035 | |a (OCoLC)243448701 | ||
| 035 | |a (DE-599)BVBBV004319025 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-12 |a DE-384 |a DE-91G |a DE-945 |a DE-573 |a DE-703 |a DE-29T |a DE-20 |a DE-521 |a DE-83 |a DE-188 |a DE-11 | ||
| 050 | 0 | |a HG174.D68 1990 | |
| 082 | 0 | |a 332/.01/5192 20 | |
| 084 | |a QK 600 |0 (DE-625)141666: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a ZA 65000 |0 (DE-625)154297: |2 rvk | ||
| 084 | |a 90A09 |2 msc/1990 | ||
| 084 | |a WIR 040f |2 stub | ||
| 100 | 1 | |a Dothan, Michael U. |0 (DE-588)17019339X |4 aut | |
| 245 | 1 | 0 | |a Prices in financial markets |c Michael U. Dothan: University of Minnesota |
| 264 | 1 | |a New York ; Oxford |b Oxford University Press |c 1990 | |
| 300 | |a xv, 342 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance -- Mathematical models | |
| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzierung |0 (DE-588)4017182-6 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Finanzierung |0 (DE-588)4017182-6 |D s |
| 689 | 0 | 1 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
| 689 | 1 | 1 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002685751&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-002685751 | ||
Datensatz im Suchindex
| _version_ | 1804118508014927872 |
|---|---|
| adam_text | Contents
1 Introduction to Models of Financial Markets 3
1.1 Models of Financial Markets 3
1.2 A Discrete One Period Model 5
1.3 Pareto Efficiency 9
1.4 Attainable Set and Budget Sets 14
1.5 Arbitrage Strategies 17
1.6 Completeness 19
2 One Period Equilibrium Price Measures 23
2.1 Equilibrium Price Measures 23
2.2 The Price Functional 29
2.3 Risk and Return 36
3 A Discrete Multiperiod Model 48
3.1 Elements of the Model 48
3.2 Information Structures 49
3.3 Informational Consistency 53
3.4 Pareto Efficiency 56
3.5 Completeness 57
3.6 Value Processes 65
3.7 Self Financing Strategies 69
4 Multiperiod Equilibrium Price Measures 74
4.1 Equilibrium Price Measures 74
4.2 The Price Functional 83
4.3 Attainable Set and Budget Sets 87
5 Discrete Stochastic Calculus 93
5.1 Introduction 93
5.2 Covariation Processes and Orthogonal Martingales 94
5.3 Stochastic Integrals 99
5.4 Change of Measure and Girsanov s Theorem 105
xiv Contents
5.5 Representation of Martingales Ill
5.6 The Doob Decomposition 121
6 Extensions of the Discrete Multiperiod Model 127
6.1 Introduction 127
6.2 A Simple Option Pricing Model 128
6.3 An Explicit Option Pricing Formula 133
6.4 Representation of Equilibrium Price Measures 138
6.5 Completeness 147
6.6 Risk and Return 150
7 The Wiener Process 156
7.1 Introduction 156
7.2 General Information Structures 158
7.3 The Wiener Process 164
8 Ito Calculus 182
8.1 Introduction 182
8.2 The Ito Integral 182
8.3 Properties of the Ito Integral 189
8.4 Ito s Formula for the Wiener Process 193
8.5 Representation of Martingales 194
8.6 A Second Definition of the Ito Integral 196
8.7 Ito Processes 197
8.8 Stochastic Exponentials 202
9 The Black Scholes Model 205
9.1 Elements of the Model 205
9.2 Completeness 217
9.3 An Explicit Trading Strategy 227
10 Local Martingales and Semimartingales 232
10.1 Introduction 232
10.2 Local Martingales 242
10.3 Maximal and Quadratic Spaces 245
10.4 Orthogonal Local Martingales 248
10.5 Predictable Processes 250
10.6 Semimartingales 254
10.7 Projections 257
10.8 The Doob Meyer Decomposition 258
10.9 Quadratic Variation Processes 259
Contents xv
11 General Stochastic Calculus 268
11.1 Lebesgue Stieltjes Integrals 268
11.2 Stochastic Integrals 271
11.3 Ito s Formula 281
11.4 Stochastic Exponentials 282
11.5 Stable Spaces of Martingales 285
11.6 Girsanov s Theorem 287
12 A Continuous Multiperiod Model 293
12.1 Introduction 293
12.2 Equilibrium Price Measures 294
12.3 Elements of the Model 296
12.4 Trading Strategies 297
12.5 Completeness 305
12.6 Risk and Return 313
12.7 Representation of Risk Adjustment Processes 318
12.8 Intermediate Consumption 326
Bibliography 331
Index 337
|
| any_adam_object | 1 |
| author | Dothan, Michael U. |
| author_GND | (DE-588)17019339X |
| author_facet | Dothan, Michael U. |
| author_role | aut |
| author_sort | Dothan, Michael U. |
| author_variant | m u d mu mud |
| building | Verbundindex |
| bvnumber | BV004319025 |
| callnumber-first | H - Social Science |
| callnumber-label | HG174 |
| callnumber-raw | HG174.D68 1990 |
| callnumber-search | HG174.D68 1990 |
| callnumber-sort | HG 3174 D68 41990 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 SK 980 ZA 65000 |
| classification_tum | WIR 040f |
| ctrlnum | (OCoLC)243448701 (DE-599)BVBBV004319025 |
| dewey-full | 332/.01/519220 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/5192 20 |
| dewey-search | 332/.01/5192 20 |
| dewey-sort | 3332 11 45192 220 |
| dewey-tens | 330 - Economics |
| discipline | Agrar-/Forst-/Ernährungs-/Haushaltswissenschaft / Gartenbau Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01910nam a2200493 c 4500</leader><controlfield tag="001">BV004319025</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20240326 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">910418s1990 xxu |||| 00||| engod</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0195053125</subfield><subfield code="9">0-19-505312-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)243448701</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV004319025</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-91G</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-573</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-29T</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-83</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG174.D68 1990</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332/.01/5192 20</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">ZA 65000</subfield><subfield code="0">(DE-625)154297:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">90A09</subfield><subfield code="2">msc/1990</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 040f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Dothan, Michael U.</subfield><subfield code="0">(DE-588)17019339X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Prices in financial markets</subfield><subfield code="c">Michael U. Dothan: University of Minnesota</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York ; Oxford</subfield><subfield code="b">Oxford University Press</subfield><subfield code="c">1990</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">xv, 342 Seiten</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance -- Mathematical models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzierung</subfield><subfield code="0">(DE-588)4017182-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzierung</subfield><subfield code="0">(DE-588)4017182-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002685751&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-002685751</subfield></datafield></record></collection> |
| id | DE-604.BV004319025 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T16:11:24Z |
| institution | BVB |
| isbn | 0195053125 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002685751 |
| oclc_num | 243448701 |
| open_access_boolean | |
| owner | DE-12 DE-384 DE-91G DE-BY-TUM DE-945 DE-573 DE-703 DE-29T DE-20 DE-521 DE-83 DE-188 DE-11 |
| owner_facet | DE-12 DE-384 DE-91G DE-BY-TUM DE-945 DE-573 DE-703 DE-29T DE-20 DE-521 DE-83 DE-188 DE-11 |
| physical | xv, 342 Seiten |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | Oxford University Press |
| record_format | marc |
| spelling | Dothan, Michael U. (DE-588)17019339X aut Prices in financial markets Michael U. Dothan: University of Minnesota New York ; Oxford Oxford University Press 1990 xv, 342 Seiten txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Finance -- Mathematical models Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Kreditmarkt (DE-588)4073788-3 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002685751&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Dothan, Michael U. Prices in financial markets Mathematisches Modell Finance -- Mathematical models Kreditmarkt (DE-588)4073788-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4114528-8 (DE-588)4017182-6 |
| title | Prices in financial markets |
| title_auth | Prices in financial markets |
| title_exact_search | Prices in financial markets |
| title_full | Prices in financial markets Michael U. Dothan: University of Minnesota |
| title_fullStr | Prices in financial markets Michael U. Dothan: University of Minnesota |
| title_full_unstemmed | Prices in financial markets Michael U. Dothan: University of Minnesota |
| title_short | Prices in financial markets |
| title_sort | prices in financial markets |
| topic | Mathematisches Modell Finance -- Mathematical models Kreditmarkt (DE-588)4073788-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Mathematisches Modell Finance -- Mathematical models Kreditmarkt Finanzierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002685751&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT dothanmichaelu pricesinfinancialmarkets |