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Table of Contents:
Chapter 1 Single Period Securities Markets
- Model Specifications
- Arbitrage and Other Economic Considerations
- Risk Neutral Probability Measures
- Valuation of Contingent Claims
- Complete and Incomplete Markets
- Risk and Return
- Optimal Portfolios and Viability
- Risk Neutral Computational Approach
- Consumption Investment Problems
- Mean-Variance Portfolio Analysis
- Portfolio Management with Short Sales Constraints and Similar Restrictions
- Optimal Portfolios in Incomplete Markets
- Equilibrium Models
- Model Specifications, Filtrations, and Stochastic Processes
- Return and Dividend Processes
- Conditional Expectation and Martingales
- Economic Considerations
- The Binomial Model
- Markov Models
- Contingent Claims
- European Options Under the Binomial Model
- American Options
- Complete and Incomplete Markets
- Forward Prices and Cash Stream Valuation
- Futures
- Optimal Portfolios and Dynamic Programming
- Optimal Portfolios and Martingale Methods
- Consumption-Investment and Dynamic Programming
- Consumption-Investment and Martingale Methods
- Maximum Utility from Consumption and Terminal Wealth
- Optimal Portfolios with Constraints
- Optimal Consumption-Investment with Constraints
- Portfolio Optimization in Incomplete Markets
- The Basic Term Structure Model
- Lattice, Markov Chain Models
- Yield Curve Models
- Forward Risk Adjusted Probability Measures
- Coupon Bonds and Bond Options
- Swaps and Swaptions
- Caps and Floors
- Finite Horizon Models
- Infinite Horizon Models
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