Mathematical Financial Economics

A Basic Introduction

ISBN: 978-3-319-16570-7 (Print) 978-3-319-16571-4 (Online)

Table of contents (21 chapters)

previous Page of 2
  1. Front Matter

    Pages i-ix

  2. Mean-Variance Portfolio Analysis

    1. Front Matter

      Pages 1-1

    2. No Access

      Chapter

      Pages 3-9

      Portfolio Selection: Introductory Comments

    3. No Access

      Chapter

      Pages 11-18

      Mean-Variance Portfolio Analysis: The Markowitz Model

    4. No Access

      Chapter

      Pages 19-25

      Solution to the Markowitz Optimization Problem

    5. No Access

      Chapter

      Pages 27-32

      Properties of Efficient Portfolios

    6. No Access

      Chapter

      Pages 33-41

      The Markowitz Model with a Risk-Free Asset

    7. No Access

      Chapter

      Pages 43-51

      Efficient Portfolios in a Market with a Risk-Free Asset

    8. No Access

      Chapter

      Pages 53-59

      Capital Asset Pricing Model (CAPM)

    9. No Access

      Chapter

      Pages 61-67

      CAPM Continued

    10. No Access

      Chapter

      Pages 69-81

      Factor Models and the Ross-Huberman APT

    11. No Access

      Chapter

      Pages 83-102

      Problems and Exercises I

  3. Derivative Securities Pricing

    1. Front Matter

      Pages 103-103

    2. No Access

      Chapter

      Pages 105-114

      Dynamic Securities Market Model

    3. No Access

      Chapter

      Pages 115-123

      Risk-Neutral Pricing

    4. No Access

      Chapter

      Pages 125-135

      The Cox–Ross–Rubinstein Binomial Model

    5. No Access

      Chapter

      Pages 137-144

      American Derivative Securities

    6. No Access

      Chapter

      Pages 145-155

      From Binomial Model to Black–Scholes Formula

    7. No Access

      Chapter

      Pages 157-165

      Problems and Exercises II

  4. Growth and Equilibrium

    1. Front Matter

      Pages 167-167

    2. No Access

      Chapter

      Pages 169-176

      Capital Growth Theory

    3. No Access

      Chapter

      Pages 177-186

      Capital Growth Theory: Continued

    4. No Access

      Chapter

      Pages 187-195

      General Equilibrium Analysis of Financial Markets

    5. No Access

      Chapter

      Pages 197-204

      Behavioral Equilibrium and Evolutionary Dynamics

previous Page of 2