An outline of financial economics:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Anthem Press
2013
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 299 S. graph. Darst. |
| ISBN: | 9780857285072 |
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Record in the Search Index
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| adam_text | Titel: An outline of financial economics
Autor: Chakravarty, Satya R
Jahr: 2013
Contents
Preface xi
Part I: Introduction and Basic Concepts
1. Basic Concepts 3
1.1. Introduction 3
1.2. Financial Institutions, Financial Markets and Financial Instruments 3
1.3. Portfolio Management 7
2. Intertemporal Decision-Making and Time Value of Money 8
2.1. Introduction 8
2.2. Consumers Time Preferences 8
2.3. Discounted Present Value and Fisher s Proposition 12
3. Risk and Uncertainty 16
3.1. Introduction 16
3.2. Von Neumann-Morgenstern Utility Function 17
3.3. Risk Aversion 22
3.4. Certainty Equivalent 28
3.5. Mean-Variance Analysis: A Special Case of the Expected 33
Utility Approach
3.6. Prospect Tlieory: A Brief Analysis 36
Appendix 39
Part II: Firm Valuation and Capital Structure
4. Valuation of Stocks 51
4.1. Introduction 51
4.2. Stock Transactions 52
4.3. Valuation of Stocks: A Simple Structure 54
4.4. Valuation of Stocks: A General Framework 56
4.5. Price-to-Earnings Ratio 58
5. Valuation of Cash Flows and Capital Budget Allocation 62
5.1. Introduction 62
5.2. Net Present Value 64
5.3. Internal Rate of Return 65
5.4. Benefit-Cost Ratio and Profitability Index 67
5.5. Some Additional Issues 68
Appendix 72
6. Financial Structure of a Firm 75
6.1. Introduction 75
6.2. The Modigliani-Miller Theorem 75
6.3. Discussion 80
Part III: Fixed Income Securities and Options
7. Valuation of Bonds and Interest Rates 87
7.1. Introduction 87
7.2. Discounted Present Values and Constant Earnings Streams 87
7.3. Special Case of a Bond 88
7.4. Yield to Maturity of Bonds 89
7.5. Duration of Bonds 94
7.6. Duration and Convexity of a Bond 97
1.7. Immunization of Interest Rate Risk 98
7.8. Forward Interest Rate 99
7.9. Forward Rate Agreement 101
8. Markets for Options 105
8.1. Introduction 105
8.2. Types of Options 106
8.3. Payoff Functions for Options 109
8.4. Profit Functions for Options 114
8.5. Boundaries for Option Values 117
8.6. Forward and Futures Contracts 126
9. Arbitrage and Binomial Model 134
9.1. Introduction 134
9.2. Conditions for Non-arbitrage: A Simple Model 135
9.3. Conditions for Non-arbitrage: A More General Model 138
9.4. The Binomial Model 143
Appendix 150
10. Brownian Motion and Itos Lemma 154
10.1. Introduction 154
10.2. Random Walk 154
10.3. Weiner Process (Brownian Motion) 156
10.4. Ito s Lemma 158
10.5. Applications 159
Appendix 162
11. The Black-Scholes-Merton Model 164
ILL Introduction 164
11.2. The Black-Scholes-Merton Partial Differential Equation 164
11.3. The Black-Scholes Pricing Formulae 170
11.4. Comparative Statics: The Greek Letters 171
11.5. Implied Volatility 175
Appendix 177
12. Exotic Options 181
12.1. Introduction 181
12.2. Digital Options 182
12.3. Asian Options 184
12.4. Barrier Options 186
12.5. Gap Options 190
12.6. Discussion 192
Appendix 194
13. Risk-Neutral Valuation and Martingales 204
13.1. Introduction 204
13.2. Martingale: Background and Interpretation 205
13.3. Equivalent Martingale Measure: Discrete-Time Models 210
13.4. Equivalent Martingale Measure: Continuous-Time Models 212
13.5. Equivalent Martingale Measure: Continuous-Time Path and 213
Stochastic Interest Rate
Part IV: Portfolio Management Theory
14. Portfolio Management: The Mean-Variance Approach 221
14.1. Introduction 221
14.2. Preliminaries 222
14.3. Construction of a Portfolio: The Two-Asset Case and a 224
Diagrammatic Exposition
14.4. Construction of a Portfolio: The Multi-Asset Case 231
14.5. Two-Fund Separation Theorem 235
14.6. Capital Asset Pricing Model 236
Appendix 245
15. Stochastic Dominance 253
15.1. Introduction 253
15.2. First Order Stochastic Dominance 254
15.3. Second Order Stochastic Dominance 256
15.4. Lorenz Ordering, Generalized Lorenz Ordering and 259
Stochastic Dominance
15.5. Ranking Portfolios 263
Appendix 265
16. Portfolio Management: The Mean-Gini Approach 272
16.1. Introduction 272
16.2. Gini Evaluation Function and Stochastic Dominance 273
16.3. Efficient Set 276
16.4. Portfolio Analysis 278
16.5. Gini Capital Asset Pricing Model 280
Appendix 282
Bibliography 287
Index 293
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| indexdate | 2024-07-10T00:56:13Z |
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| isbn | 9780857285072 |
| language | English |
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| physical | XIII, 299 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Anthem Press |
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| spelling | Chakravarty, Satya R. 1954- Verfasser (DE-588)170026205 aut An outline of financial economics Satya R. Chakravarty London [u.a.] Anthem Press 2013 XIII, 299 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 s Wirtschaftsmathematik (DE-588)4066472-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026860560&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chakravarty, Satya R. 1954- An outline of financial economics Wirtschaftsmathematik (DE-588)4066472-7 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| subject_GND | (DE-588)4066472-7 (DE-588)4017214-4 |
| title | An outline of financial economics |
| title_auth | An outline of financial economics |
| title_exact_search | An outline of financial economics |
| title_full | An outline of financial economics Satya R. Chakravarty |
| title_fullStr | An outline of financial economics Satya R. Chakravarty |
| title_full_unstemmed | An outline of financial economics Satya R. Chakravarty |
| title_short | An outline of financial economics |
| title_sort | an outline of financial economics |
| topic | Wirtschaftsmathematik (DE-588)4066472-7 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| topic_facet | Wirtschaftsmathematik Finanzwirtschaft |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026860560&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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