发帖
雷达卡
Quantitative Finance An Introduction to Investments, Asset Pricing, and Derivatives.epub
(26.05 MB, 需要: RMB 19 元)
2025最新资料。
520多页内容丰富的资料！
epub格式文件，全部矢量文字，方便翻译学习！
Quantitative Finance An Introduction to Investments, Asset Pricing, and Derivatives
1Introduction 1
1.1Teaching Using This Book 3
1.2On the Book’s Origins and Approach 5
PART I: Investments and Asset Pricing 7
2Financial Markets 9
2.1Assets and Returns 10
2.2Measuring Returns 11
2.3Bonds and Yields 14
2.4Historical Returns and Important Questions 15
3Making Decisions under Uncertainty 18
3.1Lotteries 20
3.2Expected Utility 23
3.2.1Axiomatic Derivation 23
3.3State Spaces 28
3.4Quantifying Risk Aversion 29
3.5Subjective Expected Utility Theory 33
3.6Ambiguity Aversion 33
3.7Behavioral Economics and Decision-Making 34
3.8Introducing a Time Dimension 35
3.9Epstein–Zin Preferences 36
3.10Defining Increased Riskiness 39
3.11Exercises 46
4Choosing an Investment Portfolio 49
4.1Introduction 49
4.2Multiple Risky Assets 57
4.3General Problem 60
4.4Modern Portfolio Theory 62
4.4.1Restrictions on Risk Distributions 71
4.4.2Hedging Portfolio 72
4.4.3The Power of Diversification 73
4.5Including Consumption at t = 0 74
4.6The Challenge of Estimating Expected Returns 76
4.7Dynamic Portfolio Choice 79
4.7.1Growth Optimal Portfolios 84
4.7.2Universal Portfolios 87
4.8Exercises 91
5Determining the Prices of Assets 95
5.1Equilibrium Pricing 95
5.2Capital Asset Pricing Model, CAPM 98
5.2.1CARA-Normal CAPM Model 100
5.2.2CAPM via a Regression 107
5.2.3CAPM with Unknown Market Portfolio 107
5.3Black–Litterman Model 108
5.4Consumption-Based Models 112
5.4.1Arrow–Debreu Model 113
5.4.2Efficiency 121
5.4.3Equilibrium Stochastic Discount Factor 123
5.4.4Equity Premium Puzzle 124
5.4.5HARA Utility and Habit Formation 126
5.4.6Rare Disasters 128
5.4.7Incomplete Markets 129
5.4.8Epstein–Zin Preferences 132
5.4.9Lucas Model 134
5.4.10Existence of Equilibrium in the Lucas Model 137
5.4.11More on Consumption-Based Asset Pricing 143
5.4.12EZ Preferences and the Equity Premium Puzzle 144
5.5Arbitrage Pricing Theory, APT 148
5.5.1One-Factor Model without Idiosyncratic Risk 149
5.5.2Two-Factor Model without Idiosyncratic Risk 150
5.5.3Factor Pricing with Idiosyncratic Risk 151
5.6Exercises 156
PART II: No-Arbitrage Pricing and Derivatives 161
6Introduction to No-Arbitrage Pricing 163
7One-Period Model 165
7.1Preliminary Notation 165
7.2Capital Markets 166
7.3Modeling the Market 167
7.4The Fundamental Theorems 174
7.4.1The First Fundamental Theorem 174
7.4.2The Second Fundamental Theorem 178
7.4.3The Law of One Price, LOOP 179
7.4.4Discussion and Examples 179
7.5Probability Theory I 181
7.6Risk-Neutral Pricing and the Stochastic Discount Factor 182
7.7More on Derivative Contracts 184
7.8Price Bounds in Incomplete Markets 188
7.9Exercises 193
8Multiperiod Model 197
8.1An Example with Two Periods 198
8.2Probability Theory II 200
8.3More Probability Theory and Stochastic Processes 205
8.3.1Sigma-Algebras 206
8.3.2Stochastic Processes 207
8.4Information Refinement over Time 207
8.5General Multiperiod Model 208
8.6Multiperiod Fundamental Theorems 212
8.7Limit of the Binomial Model 213
8.8Exercises 219
9Continuous-Time Model 223
9.1Brownian Motion 223
9.2Stochastic Integrals 228
9.2.1Classical Calculus 228
9.2.2Portfolio Investing in Continuous Time 229
9.2.3Riemann–Stieltjes Integral 229
9.2.4Integral of a Wiggly Function 232
9.2.5The Itô Integral 236
9.2.6A Deterministic Example 237
9.2.7Differential Formulas 241
9.2.8Itô’s Lemma 241
9.3Continuous-Time Portfolios 244
9.4ODEs, SDEs, and PDEs 245
9.4.1A Primer on Ordinary Differential Equations (ODEs) 245
9.4.2Stochastic Differential Equations (SDEs) 249
9.4.3Partial Differential Equations (PDEs) 251
9.4.4Feynman–Kac’s Theorem and the Kolmogorov Equations 255
9.5No-Arbitrage Pricing in Continuous Time 259
9.5.1Black–Scholes’ PDE and Formula 259
9.5.2Proving the Black–Scholes PDE Formula 262
9.5.3Risk-Neutral Formulation 265
9.5.4Varying Volatility and Interest Rates 267
9.6Girsanov’s Theorem 267
9.6.1An Insightful Example 270
9.7Exercises 275
10Applications 279
10.1Dividends 279
10.2Barrier Options 281
10.3Bond Pricing in Continuous Time 284
10.3.1A Generalized Example 291
10.3.2Example—Vasicek Model 292
10.3.3Example—Cox–Ingersoll–Ross (CIR) Model 293
10.4Multidimensional Black–Scholes 294
10.4.1Exchange Option Example 295
10.5Change of Numeraire 297
10.6Forward and Futures Contracts in Continuous Time 299
10.7Exercises 302
11Numerical Methods 306
11.1Binomial Tree Method 310
11.1.1A Two-Dimensional Problem 312
11.2Finite Difference Method for ODEs 314
11.3Finite Difference Method for the Black–Scholes Equation 316
11.3.1More on Stability 320
11.4Monte Carlo Method 323
PART III: Advanced Topics 327
12Portfolio Choice and Equilibrium in Continuous Time 329
12.1Portfolio Choice in Continuous Time 329
12.1.1Varying Investment Opportunity Set 334
12.1.2Solution with Intermediate Consumption 341
12.2Intertemporal Capital Asset Pricing Model, ICAPM 345
12.3Continuous-Time Lucas Model 349
12.4Economies with Production 353
12.4.1Extending the One-Tree Model to Include Production 353
12.4.2Cox–Ingersoll–Ross (CIR) Economy 358
13More Derivative Pricing 362
13.1Constant Elasticity of Variance (CEV) Model 362
13.2Jumps 364
13.3Further Classification of Processes and Distributions 370
13.4Stochastic Volatility 374
13.4.1Fourier Transform and Fourier Methods 377
13.4.2Solving the Stochastic Volatility Problem 379
13.5Variance Gamma Model 381
13.6Volatility Index, VIX 385
14Recovery Theorem 389
14.1The Ross Recovery Model 391
14.2Recovery for Diffusion Processes 395
14.3Error Bounds under Bounded Observations 402
14.4Misspecified Recovery 404
15Information and Disagreement 407
15.1Agreeing to Disagree 408
15.2Noisy Rational Expectations Equilibrium (NREE) Models 418
15.3Strategic Investors 421
Acknowledgments 427
Appendix A: Sets and Functions 429
A.1Sets 429
A.2Functions 431
Appendix B: Topology and Linear Algebra 432
B.1Metric Spaces 432
B.2Vector Spaces 433
B.3Vectors and Matrices 436
B.4Linear Algebra 438
B.5Stochastic Matrices 440
Appendix C: Real Analysis 443
C.1Limits of Sequences and Series 443
C.2Continuity 444
C.3Derivatives and Taylor Expansions 445
C.4Multivariate Calculus 446
C.5Optimization 448
Appendix D: Lebesgue–Stieltjes Integral 450
Appendix E: MATLAB Code 453
Bibliography 455…………………………………………………………
。
京公网安备 11010802022788号
