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以下是本人搜集的关于资产定价方面、尤其是期权定价方面比较经典的文献,主要是侧重在随机过程方面。不敢独享,拿出共享,希望能给大家研究提供方便。由于资产定价方面的文献很多和侧重点不同,这里上传的文献只是很小一部分,另有一部分没有做索引,所以没有上传。欢迎大家补充。
1. Cameron, R.H. and W.T. Martin, Transformations of Weiner Integrals Under Translations. The Annals of Mathematics, 1944. 45(2): p. 386-396. 2. Arrow, K.J. and G. Debreu, Existence of an Equilibrium for a Competitive Economy. Econometrica, 1954. 22(3): p. 265-290. 3. Tobin, J., Liquidity preference as behavior towards risk. The Review of Economic Studies, 1958. 25(2): p. 65-86. 4. Girsanov, I.V., On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures. Theory of Probability and its Applications, 1960. 5(3): p. 285-301. 5. Sharpe, W.F., Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 1964. 19(3): p. 425-442. 6. Fama, E.F., The Behavior of Stock-Market Prices. The Journal of Business, 1965. 38(1): p. 34-105. 7. Lintner, J., The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 1965: p. 13-37. 8. Fisher, L., Some New Stock-Market Indexes. The Journal of Business, 1966. 39(1): p. 191-225. 9. Merton, R.C., Lifetime portfolio selection under uncertainty: The continuous-time case. The Review of Economics and Statistics, 1969. 51(3): p. 247-257. 10. Hakansson, N.H., Optimal investment and consumption strategies under risk for a class of utility functions. Econometrica, 1970. 38(5): p. 587-607. 11. Fama, E.F., Risk, Return, and Equilibrium. The Journal of Political Economy, 1971. 79(1): p. 30-55. 12. Merton, R.C., Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 1971. 3(4): p. 373-413. 13. Novikov, A.A., On Moment Inequalities for Stochastic Integrals. Theory of Probability and its Applications, 1971. 16(3): p. 538-541. 14. Black, F., Capital market equilibrium with restricted borrowing. Journal of business, 1972. 45(3): p. 444-455. 15. Black, F. and M. Scholes, The pricing of options and corporate liabilities. Journal of political economy, 1973. 81(3): p. 637. 16. Fama, E.F. and J.D. MacBeth, Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 1973. 81(3): p. 607. 17. Merton, R.C., An intertemporal capital asset pricing model. Econometrica, 1973. 41(5): p. 867-887. 18. Merton, R.C., Theory of rational option pricing. The Bell Journal of Economics and Management Science, 1973: p. 141-183. 19. Black, F., The pricing of commodity contracts. Journal of Financial Economics, 1976. 3(1-2): p. 167-179. 20. Ross, S.A., The arbitrage theory of capital asset pricing. Journal of Economic Theory, 1976. 13(3): p. 341-360. 21. Rubinstein, M., The valuation of uncertain income streams and the pricing of options. The Bell Journal of Economics, 1976. 7(2): p. 407-425. 22. Vasicek, O., An equilibrium characterization of the term structure. Journal of financial economics, 1977. 5(2): p. 177-188. 23. Breeden, D.T., An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 1979. 7(3): p. 265-296. 24. Cox, J.C., S.A. Ross and M. Rubinstein, Option pricing: a simplified approach. Journal of Financial Economics, 1979. 7: p. 229-263. 25. Harrison, J.M. and D. Kreps, Martingales and arbitrage in multiperiod securities markets. Journal of Economic theory, 1979. 20(3): p. 381?08. 26. Cox, J.C., J.E. Ingersoll and S.A. Ross, The relation between forward prices and futures prices. Journal of Financial Economics, 1981. 9(4): p. 321-346. 27. Harrison, J.M. and S.R. Pliska, Martingales and stochastic integrals in the theory of continous trading. Stochastic processes and their applications, 1981. 11: p. 215-260. 28. Jarrow, R.A. and G.S. Oldfield, Forward contracts and futures contracts. Journal of Financial Economics, 1981. 9(4): p. 373-382. 29. Harrison, J.M. and S.R. Pliska, A stochastic calculus model of continuous trading: complete markets. Stochastic Processes and their Applications, 1983. 15(3): p. 313-316. 30. Harrison, J.M. and S.R. Pliska, A stochastic calculus model of continuous trading: Complete markets. Stochastic Processes and their Applications, 1983. 15(3): p. 313-316. 31. Bensoussan, A., On the theory of option pricing. Acta Appl. Math, 1984. 2(2): p. 139-158. 32. Cox, J.C., J.E. Ingersoll Jr and S.A. Ross, A theory of the term structure of interest rates. Econometrica, 1985. 53(2): p. 385-407. 33. Lee, S.B., Term structure movements and pricing interest rate contingent claims. Journal of Finance, 1986. 41: p. 1011-1029. 34. Pliska, S.R., A stochastic calculus model of continuous trading: Optimal portfolios. Mathematics of Operations Research, 1986. 11(1): p. 371-382. 35. Hull, J. and A. White, The pricing of options on assets with stochastic volatilities. Journal of finance, 1987: p. 281-300. 36. Karatzas, I., J.P. Lehoczky and S.E. Shreve, Optimal portfolio and consumption decisions for a "small investor" on a finite horizon. SIAM Journal on Control and Optimization, 1987. 25(6): p. 1557. 37. Karatzas, I., On the pricing of American options. Applied Mathematics and Optimization, 1988. 17(1): p. 37-60. 38. Cox, J.C. and C. Huang, Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory, 1989. 49(1): p. 33-83. 39. Epstein, L.G. and S.E. Zin, Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework. Econometrica, 1989. 57(4): p. 937-969. 40. LeRoy, S.F., Efficient Capital Markets and Martingales. Journal of Economic Literature, 1989. 27(4): p. 1583-1621. 41. Black, F., E. Derman and W. Toy, A one-factor model of interest rates and its application to treasury bond options. Financial analysts journal, 1990. 46(1): p. 33-39. 42. Heath, D., R. Jarrow and A. Morton, Bond pricing and the term structure of interest rates: a discrete time approximation. Journal of Financial and Quantitative Analysis, 1990. 25(4): p. 419-440. 43. Heath, D., R. Jarrow and A. Morton, Bond pricing and the term structure of interest rates: A discrete time approximation. Journal of Financial and Quantitative Analysis, 1990: p. 419-440. 44. Hull, J. and A. White, Pricing interest-rate-derivative securities. Review of financial studies, 1990. 3(4): p. 573-592. 45. Cox, J.C. and C. Huang, A variational problem arising in financial economics. Journal of Mathematical Economics, 1991. 20(5): p. 465-487. 46. Epstein, L.G. and S.E. Zin, Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis. The Journal of Political Economy, 1991. 99(2): p. 263-286. 47. Duffie, D. and P. Protter, From Discrete- to Continuous-Time Finance: Weak Convergence of the Financial Gain Process1. Mathematical Finance, 1992. 2(1): p. 1-15. 48. Heath, D., R. Jarrow and A. Morton, Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 1992. 60(1): p. 77-105. 49. Fama, E.F. and K.R. French, Common risk factors in the returns on stocks and bonds* 1. Journal of financial economics, 1993. 33(1): p. 3-56. 50. Geman, H., N.E. Karoui and J. Rochet, Changes of Numéraire, Changes of Probability Measure and Option Pricing. Journal of Applied Probability, 1995. 32(2): p. 443-458. 51. Brace, A., D. Gatarek and M. Musiela, The market model of interest rate dynamics. Mathematical finance, 1997. 7(2): p. 127-155. 52. Rogers, L.C.G., Arbitrage with Fractional Brownian Motion. Mathematical Finance, 1997. 7(1): p. 95-105. 53. Willinger, W., M.S. Taqqu and V. Teverovsky, Stock market prices and long-range dependence. Finance and Stochastics, 1999. 3(1): p. 1-13. 54. Bru, B. and M. Yor, Comments on the life and mathematical legacy of Wolfgang Doeblin. Finance and Stochastics, 2002. 6(1): p. 3-47. 55. Cheridito, P., Arbitrage in fractional Brownian motion models. Finance and Stochastics, 2003. 7(4): p. 533-553. |
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