Advanced asset pricing theory

DOI10.1142/P745MaRDI QIDQ3076621zbMATH OpenOpenAlexFDO

Authors 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

asset pricing theoryBlack-Scholes modelcontingent claimscontinuous-time modelingdiscrete-time modelingequilibrium asset pricinginterest ratesoptimal trading strategyoptionsportfolio managementrisk measuressequential choicestochastic differential utilitystochastic processes

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Brownian motion (60J65) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Utility theory (91B16) General equilibrium theory (91B50) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Asset pricing theory.
• Asset pricing and portfolio choice theory.
• Asset pricing. A structural theory and its applications.
• Financial markets theory. Equilibrium, efficiency and information
• Continuous-time asset pricing theory. A martingale-based approach

Cited in

(17)

• First results on applying a non-linear effect formalism to alliances between political parties and buy and sell dynamics
• Asset pricing. Modeling and estimation.
• Editorial: Introduction to quantum probability theory and its economic applications
• Wavelet-based option pricing: an empirical study
• Revealing the implied risk-neutral MGF from options: the wavelet method
• Prospect theory and asset prices
• Asset pricing theory.
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• A model of adaptive decision-making from representation of information environment by quantum fields
• Advanced finance theories
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Asset pricing and portfolio choice theory.
• Continuous-time asset pricing theory. A martingale-based approach
• Extrapolative asset pricing
• Theoretical foundations of asset pricing (to appear)
• Potential functions and the characterization of economics-based information
• Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR

This page was built for publication: Advanced asset pricing theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3076621)