TY  - BOOK
AU  - Cvitanic,Jaksa
AU  - Zapatero,Fernando
TI  - Introduction to the economics and mathematics of financial markets / 
SN  - 0262033208
U1  - 332.632 21
PY  - 2004///
CY  - Cambridge : 
PB  - The MIT Press, 
KW  - Mercado financiero
KW  - Modelos matemáticos
KW  - Derivados financieros
N1  - Incluye referencias bibliográficas (páginas 479-485) e índice; I. The setting: markets, models, interest rates, utility maximization, risk: 1. Financial markets: 1.1. Bonds ; 1.2. Stocks ; 1.3. Derivatives ; 1.4. Organization of financial markets ; 1.5. Margins ; 1.6. Transaction costs -- 2. Interest rates: 2.1. Computation of interest rates ; 2.2. Present value ; 2.3. Term Structure of interest rates and forward rates -- 3. Models of securities prices in financial markets: 3.1. Single-period models ; 3.2. Multiperiod models ; 3.3. Continuous-time models ; 3.4. Modeling interest rates ; 3.5. Nominal rates and real rates ; 3.6. Arbitrage and market completeness ; 3.7. Appendix -- 4. Optimal consumption/portfolio strategies: 4.1. Preference relations and utility functions ; 4.2. Discrete-time utility maximization ; 4.3. Utility maximization in continuous time ; 4.4. Duality/martingale approach to utility maximization ; 4.5. Transaction costs ; 4.6. Incomplete and asymmetric information ; 4.7. Appendix: proof of dynamic programming principle -- 5. Risk: 5.1. Risk versus return: mean-variance analysis ; 5.2. VaR: value at risk -- II. Pricing and hedging of derivative securities: 6. Arbitrage and risk-neutral pricing: 6.1. Arbitrage relationships for call and put options; put-call parity ; 6.2. Arbitrage pricing of forwards and futures ; 6.3. Risk-neutral pricing ; 6.4. Appendix -- 7. Option pricing: 7.1. Option pricing in the binomial model ; 7.2. Option pricing in the Merton-black-Scholes model ; 7.3. Pricing American options ; 7.4. Options on dividend-paying securities ; 7.5. Other types of options ; 7.6. Pricing in the presence of several random variables ; 7.7. Merton's jump-diffusion model ; 7.8. Estimation of variance and ARCH/GARCH models ; 7.9. Appendix: derivation of the black-Scholes formula -- 8. Fixed-income market models and derivatives: 8.1. Discrete-time interest-rate modeling ; 8.2. Interest-rate models in continuous time ; 8.3. Swaps, caps, and floors ; 8.4. Credit/default risk -- 9. Hedging: 9.1. Hedging with futures ; 9.2. Portfolios of options as trading strategies ; 9.3. Hedging options positions; delta hedging ; 9.4. Perfect hedging in a multivariable continuous-time model ; 9.5. Hedging in incomplete markets   -- 10. Bond hedging: 10.1. Duration ; 10.2. Immunization ; 10.3. Convexity -- 11. Numerical methods: 11.1. Binomial tree methods ; 11.2. Monte Carlo simulation ; 11.3. Numerical solutions of pdes; finite-difference methods -- III. Equilibrium models: 12. Equilibrium fundamentals ; 12.1. Concept of equilibrium ; 12.2. Single-agent and multiagente equilibrium ; 12.3. Pure exchange equilibrium ; 12.4. Existence of equilibrium -- 13. CAPM: 13.1. Basic CAPM ; 13.2. Economic interpretations ; 13.3. Alternative derivation of the CAPM ; 13.4. Continuous-time, intertemporal CAPM ; 13.5. Consumption CAPM -- 14. Multifactor models: 14.1. Discrete-time multifactor models ; 14.2. Arbitrage pricing theory (APT) ; 14.3. Multifactor models in continuous time -- 15. Other pure exchange equilibria: 15.1. Term-structure equilibria ; 15.2. Informational equilibria     ; 15.3. Equilibrium with heterogeneous agents ; 15.4. International equilibrium; equilibrium with two prices -- 16. Appendix: probability theory essentials: 16.1. Discrete random variables ; 16.2. Continuous random variables ; 16.3. Several random variables ; 16.4. Normal random variables  ; 16.5. Properties of conditional expectations ; 16.6. Martingale definition ; 16.7. Random walk and Brownian motion
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