Advanced Asset Pricing Theory

DOI10.1142/p745zbMath1288.91002MaRDI QIDQ3076621

Chenghu Ma

Publication date: 23 February 2011

Published in: Series in Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/p745

zbMATH Keywords

options; stochastic processes; interest rates; Black-Scholes model; contingent claims; risk measures; portfolio management; optimal trading strategy; asset pricing theory; discrete-time modeling; stochastic differential utility; sequential choice; equilibrium asset pricing; continuous-time modeling

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60J65: Brownian motion

91B16: Utility theory

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

91B50: General equilibrium theory

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance

60G05: Foundations of stochastic processes

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