简介
Summary:
Publisher Summary 1
"Kerry Back has created a masterful introduction to asset pricing and portfolio choice. It is easy to foresee this text becoming a new standard in finance PhD courses as well as a valued reference for seasoned finance scholars everywhere. The coverage of topics is comprehensive, starting in a single-period setting and then moving naturally to dynamic models in both discrete and continuous time. The numerous challenging exercises are yet another big strength. In short, an impressive achievement." Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, The Wharlon School, University of Pennsylvania
"Kerry Back offers us a rigorous but accessible treatment of the asset pricing theory concepts that every doctoral student in finance should learn. A distinguished scholar in the field provides a presentation that is clear yet concise, and, at the end of each chapter, exercises that are an invaluable pedagogical tool for both students and instructors." Eduardo Schwartz, California Chair in Real Estate and Land Economics, UCLA Anderson School of Management
"In Asset Pricing and Portfolio Choice Theory Kerry Back has given us a comprehensive, rigorous, and at the same time elegant and self-contained treatment of the important developments in this vast literature, It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management science as well as interested practitioners." Ravi Jagannathan, Chicago Mercantile Exchange/John F. Sandner Professor of Finance and a Codirector of the Financial Institutions and Markets Research Center, Kellogg School of Management, Northwestern University
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices.
Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, nonexpected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
Publisher Summary 2
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices.
Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
目录
Table Of Contents:
I Single-Period Models
1 Utility Functions and Risk Aversion Coefficients 3(18)
1.1 Uniqueness of Utility Functions 4(1)
1.2 Concavity and Risk Aversion 4(1)
1.3 Coefficients of Risk Aversion 5(1)
1.4 Risk Aversion and Risk Premia 6(2)
1.5 Constant Absolute Risk Aversion 8(2)
1.6 Constant Relative Risk Aversion 10(1)
1.7 Linear Risk Tolerance 10(3)
1.8 Conditioning and Aversion to Noise 13(1)
1.9 Notes and References 14(7)
Exercises 17(4)
2 Portfolio Choice and Stochastic Discount Factors 21(26)
2.1 The First-Order Condition 23(3)
2.2 Stochastic Discount Factors 26(1)
2.3 A Single Risky Asset 27(4)
2.4 Linear Risk Tolerance 31(3)
2.5 Constant Absolute Risk Aversion with Multivariate Normal Returns 34(2)
2.6 Mean-Variance Preferences 36(1)
2.7 Complete Markets 37(2)
2.8 Beginning-of-Period Consumption 39(2)
2.9 Time-Additive Utility 41(1)
2.10 Notes and References 41(6)
Exercises 42(5)
3 Equilibrium and Efficiency 47(18)
3.1 Pareto Optima 47(1)
3.2 Social Planner's Problem 48(1)
3.3 Pareto Optima and Sharing Rules 49(1)
3.4 Competitive Equilibria 50(1)
3.5 Complete Markets 51(2)
3.6 Linear Risk Tolerance 53(6)
3.7 Beginning-of-Period Consumption 59(2)
3.8 Notes and References 61(4)
Exercises 61(4)
4 Arbitrage and Stochastic Discount Factors 65(15)
4.1 Fundamental Theorem on Existence of Stochastic Discount Factors 65(2)
4.2 Law of One Price and Stochastic Discount Factors 67(1)
4.3 Risk-Neutral Probabilities 68(1)
4.4 Projecting SDF's onto the Asset Span 68(3)
4.5 Projecting onto a Constant and the Asset Span 71(1)
4.6 Hansen-Jagannathan Bound with a Risk-Free Asset 72(1)
4.7 Hansen-Jagannathan Bound with No Risk-Free Asset 73(1)
4.8 Hilbert Spaces and Gram-Schmidt Orthogonalization 74(2)
4.9 Notes and References 76(4)
Exercises 78(2)
5 Mean-Variance Analysis 80(21)
5.1 The Calculus Approach for Risky Assets 81(1)
5.2 Two-Fund Spanning 82(1)
5.3 The Mean-Standard Deviation Trade-Off 83(1)
5.4 GMV Portfolio and Mean-Variance Efficiency 83(1)
5.5 Calculus Approach with a Risk-Free Asset 84(4)
5.6 Two-Fund Spanning Again 88(1)
5.7 Orthogonal Projections and Frontier Returns 88(3)
5.8 Risk-Free Return Proxies 91(1)
5.9 Inefficiency of Rp 92(1)
5.10 Hansen-Jagannathan Bound with a Risk-Free Asset 92(1)
5.11 Frontier Returns and Stochastic Discount Factors 93(1)
5.12 Separating Distributions 94(4)
5.13 Notes and References 98(3)
Exercises 99(2)
6 Beta Pricing Models 101(20)
6.1 Beta Pricing 101(2)
6.2 Single-Factor Models with Returns as Factors 103(2)
6.3 The Capital Asset Pricing Model 105(3)
6.4 Returns and Excess Returns as Factors 108(1)
6.5 Projecting Factors on Returns and Excess Returns 109(2)
6.6 Beta Pricing and Stochastic Discount Factors 111(1)
6.7 Arbitrage Pricing Theory 112(4)
6.8 Notes and References 116(5)
Exercises 118(3)
7 Representative Investors 121(14)
7.1 Pareto Optimality Implies a Representative Investor 122(1)
7.2 Linear Risk Tolerance 123(3)
7.3 Consumption-Based Asset Pricing 126(1)
7.4 Pricing Options 127(3)
7.5 Notes and References 130(5)
Exercises 130(5)
II Dynamic Models
8 Dynamic Securities Markets 135(22)
8.1 The Portfolio Choice Problem 136(2)
8.2 Stochastic Discount Factor Processes 138(1)
8.3 Self-Financing Wealth Processes 139(1)
8.4 The Martingale Property 140(2)
8.5 Transversality Conditions and Ponzi Schemes 142(1)
8.6 The Euler Equation 143(2)
8.7 Arbitrage and the Law of One Price 145(1)
8.8 Risk-Neutral Probabilities 146(2)
8.9 Complete Markets 148(2)
8.10 Portfolio Choice in Complete Markets 150(1)
8.11 Competitive Equilibria 151(1)
8.12 Notes and References 152(5)
Exercises 154(3)
9 Portfolio Choice by Dynamic Programming 157(20)
9.1 Introduction to Dynamic Programming 157(3)
9.2 Bellman Equation for Portfolio Choice 160(1)
9.3 The Envelope Condition 161(1)
9.4 Constant Relative Risk Aversion for Terminal Wealth 162(3)
9.5 Constant Relative Risk Aversion for Intermediate Consumption 165(2)
9.6 Constant Relative Risk Aversion with an Infinite Horizon 167(4)
9.7 Notes and References 171(6)
Exercises 173(4)
10 Conditional Beta Pricing Models 177(12)
10.1 From Conditional to Unconditional Models 178(1)
10.2 The Conditional Capital Asset Pricing Model 179(2)
10.3 The Consumption-Based Capital Asset Pricing Model 181(2)
10.4 The Intertemporal Capital Asset Pricing Model 183(4)
10.5 An Approximate Capital Asset Pricing Model 187(1)
10.6 Notes and References 187(2)
Exercises 188(1)
11 Some Dynamic Equilibrium Models 189(15)
11.1 Representative Investors 189(1)
11.2 Valuing the Market Portfolio 190(2)
11.3 The Risk-Free Return 192(1)
11.4 The Equity Premium Puzzle 193(1)
11.5 The Risk-Free Rate Puzzle 194(1)
11.6 Uninsurable Idiosyncratic Income Risk 194(4)
11.7 External Habits 198(3)
11.8 Notes and References 201(3)
Exercises 202(2)
12 Brownian Motion and Stochastic Calculus 204(27)
12.1 Brownian Motion 204(1)
12.2 Quadratic Variation 205(2)
12.3 Ito Integral 207(1)
12.4 Local Martingales and Doubling Strategie 208(1)
12.5 Ito Processes 209(1)
12.6 Asset and Portfolio Returns 210(2)
12.7 Martingale Representation Theorem 212(1)
12.8 Ito's Formula: Version I 212(4)
12.9 Geometric Brownian Motion 216(2)
12.10 Covariations of Ito Processes 218(1)
12.11 Ito's Formula: Version II 219(1)
12.12 Conditional Variances and Covariances 220(2)
12.13 Transformations of Models 222(2)
12.14 Notes and References 224(7)
Exercises 225(6)
13 Securities Markets in Continuous Time 231(25)
13.1 Dividend-Reinvested Asset Prices 231(1)
13.2 Securities Markets 232(2)
13.3 Self-Financing Wealth Processes 234(1)
13.4 Conditional Mean-Variance Frontier 235(1)
13.5 Stochastic Discount Factor Processes 236(1)
13.6 Properties of Stochastic Discount Factor Processes 237(4)
13.7 Sufficient Conditions for MW to be a Martingale 241(1)
13.8 Valuing Consumption Streams 242(1)
13.9 Risk Neutral Probabilities 243(2)
13.10 Complete Markets 245(1)
13.11 Markets without a Risk-Free Asset 246(1)
13.12 Inflation and Foreign Exchange 247(1)
13.13 Notes and References 248(8)
Exercises 249(7)
14 Continuous-Time Portfolio Choice and Beta Pricing 256(27)
14.1 The Static Budget Constraint 256(1)
14.2 Complete Markets 257(2)
14.3 Constant Capital Market Line 259(1)
14.4 Dynamic Programming Example 260(3)
14.5 General Markovian Portfolio Choice 263(2)
14.6 The Consumption-Based Capital Asset Pricing Model 265(2)
14.7 The Intertemporal Capital Asset Pricing Model 267(1)
14.8 The Capital Asset Pricing Model 268(1)
14.9 Infinite-Horizon Dynamic Programming 269(1)
14.10 Value Function for Constant Relative Risk Aversion 269(2)
14.11 Verification Theorem 271(2)
14.12 Notes and References 273(10)
Exercises 275(8)
III Derivative Securities
15 Option Pricing 283(27)
15.1 Introduction to Options 284(2)
15.2 Put-Call Parity and Option Bounds 286(1)
15.3 Stochastic Discount Factor Processes 286(1)
15.4 Changes of Measure 287(2)
15.5 Market Completeness 289(1)
15.6 The Black-Scholes Formula 290(3)
15.7 Delta Hedging 293(3)
15.8 The Fundamental Partial Differential Equation 296(1)
15.9 American Options 297(1)
15.10 Smooth Pasting 298(3)
15.11 European Options on Dividend-Paying Assets 301(1)
15.12 Notes and References 301(9)
Exercises 304(6)
16 Forwards, Futures, and More Option Pricing 310(24)
16.1 Forward Measures 310(1)
16.2 Forward Contracts 311(2)
16.3 Futures Contracts 313(1)
16.4 Exchange Options 314(2)
16.5 Options on Forwards and Futures 316(2)
16.6 Dividends and Random Interest Rates 318(1)
16.7 Implied Volatilities and Local Volatilities 319(2)
16.8 Stochastic Volatility 321(4)
16.9 Notes and References 325(9)
Exercises 326(8)
17 Term Structure Models 334(23)
17.1 Vasicek Model 335(2)
17.2 Cox---Ingersoll---Ross Model 337(2)
17.3 Multifactor Cox---Ingersoll-Ross Models 339(1)
17.4 Affine Models 340(2)
17.5 Completely Affine Models 342(1)
17.6 Quadratic Models 343(1)
17.7 Forward Rates 344(1)
17.8 Fitting the Yield Curve 345(1)
17.9 Heath-Jarrow-Morton Models 346(2)
17.10 Notes and References 348(9)
Exercises 350(7)
IV Topics
18 Heterogeneous Priors 357(14)
18.1 State-Dependent Utility Formulation 358(1)
18.2 Representative Investors in Complete Single-Period Markets 359(2)
18.3 Representative Investors in Complete Dynamic Markets 361(3)
18.4 Short Sales Constraints and Biased Prices 364(2)
18.5 Speculative Trade 366(1)
18.6 Notes and References 367(4)
Exercises 368(3)
19 Asymmetric Information 371(23)
19.1 The No-Trade Theorem 371(2)
19.2 Normal-Normal Updating 373(2)
19.3 A Fully Revealing Equilibrium 375(2)
19.4 Noise Trading and Partially Revealing Equilibria 377(4)
19.5 A Model with a Large Number of Investors 381(2)
19.6 The Kyle Model 383(4)
19.7 The Kyle Model in Continuous Time 387(3)
19.8 Notes and References 390(4)
Exercises 392(2)
20 Alternative Preferences in Single-Period Models 394(20)
20.1 The Ellsberg Paradox 395(1)
20.2 The Sure Thing Principle 396(1)
20.3 Multiple Priors and Max-Min Utility 396(2)
20.4 NonAdditive Set Functions 398(1)
20.5 The Allais Paradox 399(2)
20.6 The Independence Axiom 401(1)
20.7 Betweenness Preferences 402(4)
20.8 Rank-Dependent Preferences 406(2)
20.9 First-Order Risk Aversion 408(1)
20.10 Framing and Loss Aversion 409(1)
20.11 Prospect Theory 410(1)
20.12 Notes and References 410(4)
Exercises 411(3)
21 Alternative Preferences in Dynamic Models 414(23)
21.1 Recursive Preferences 416(2)
21.2 Portfolio Choice with Epstein-Zin-Weil Utility 418(1)
21.3 A Representative Investor with Epstein-Zin-Weil Utility 419(2)
21.4 Internal Habits 421(1)
21.5 Linear Internal Habits in Complete Markets 422(2)
21.6 A Representative Investor with an Internal Habit 424(2)
21.7 Keeping/Catching Up with the Joneses 426(2)
21.8 Ambiguity Aversion in Dynamic Models 428(3)
21.9 Notes and References 431(6)
Exercises 433(4)
22 Production Models 437(19)
22.1 Discrete-Time Model 438(1)
22.2 Marginal q 439(2)
22.3 Costly Reversibility 441(1)
22.4 Project Risk and Firm Risk 442(4)
22.5 Irreversibility and Options 446(2)
22.6 Irreversibility and Perfect Competition 448(1)
22.7 Irreversibility and Risk 449(1)
22.8 Irreversibility and Perfect Competition: An Example 450(1)
22.9 Notes and References 451(5)
Exercises 453(3)
Appendices
A Some Probability and Stochastic Process Theory 456(11)
A.1 Random Variables 456(1)
A.2 Probabilities 457(1)
A.3 Distribution Functions and Densities 457(1)
A.4 Expectations 458(1)
A.5 Convergence of Expectations 459(1)
A.6 Interchange of Differentiation and Expectation 459(1)
A.7 Random Vectors 460(1)
A.8 Conditioning 461(1)
A.9 Independence 462(1)
A.10 Equivalent Probability Measures 463(1)
A.11 Filtrations, Martingales, and Stopping Times 464(1)
A.12 Martingales under Equivalent Measures 464(1)
A.13 Local Martingales 465(1)
A.14 The Usual Conditions 465(2)
Bibliography 467(14)
Index 481
I Single-Period Models
1 Utility Functions and Risk Aversion Coefficients 3(18)
1.1 Uniqueness of Utility Functions 4(1)
1.2 Concavity and Risk Aversion 4(1)
1.3 Coefficients of Risk Aversion 5(1)
1.4 Risk Aversion and Risk Premia 6(2)
1.5 Constant Absolute Risk Aversion 8(2)
1.6 Constant Relative Risk Aversion 10(1)
1.7 Linear Risk Tolerance 10(3)
1.8 Conditioning and Aversion to Noise 13(1)
1.9 Notes and References 14(7)
Exercises 17(4)
2 Portfolio Choice and Stochastic Discount Factors 21(26)
2.1 The First-Order Condition 23(3)
2.2 Stochastic Discount Factors 26(1)
2.3 A Single Risky Asset 27(4)
2.4 Linear Risk Tolerance 31(3)
2.5 Constant Absolute Risk Aversion with Multivariate Normal Returns 34(2)
2.6 Mean-Variance Preferences 36(1)
2.7 Complete Markets 37(2)
2.8 Beginning-of-Period Consumption 39(2)
2.9 Time-Additive Utility 41(1)
2.10 Notes and References 41(6)
Exercises 42(5)
3 Equilibrium and Efficiency 47(18)
3.1 Pareto Optima 47(1)
3.2 Social Planner's Problem 48(1)
3.3 Pareto Optima and Sharing Rules 49(1)
3.4 Competitive Equilibria 50(1)
3.5 Complete Markets 51(2)
3.6 Linear Risk Tolerance 53(6)
3.7 Beginning-of-Period Consumption 59(2)
3.8 Notes and References 61(4)
Exercises 61(4)
4 Arbitrage and Stochastic Discount Factors 65(15)
4.1 Fundamental Theorem on Existence of Stochastic Discount Factors 65(2)
4.2 Law of One Price and Stochastic Discount Factors 67(1)
4.3 Risk-Neutral Probabilities 68(1)
4.4 Projecting SDF's onto the Asset Span 68(3)
4.5 Projecting onto a Constant and the Asset Span 71(1)
4.6 Hansen-Jagannathan Bound with a Risk-Free Asset 72(1)
4.7 Hansen-Jagannathan Bound with No Risk-Free Asset 73(1)
4.8 Hilbert Spaces and Gram-Schmidt Orthogonalization 74(2)
4.9 Notes and References 76(4)
Exercises 78(2)
5 Mean-Variance Analysis 80(21)
5.1 The Calculus Approach for Risky Assets 81(1)
5.2 Two-Fund Spanning 82(1)
5.3 The Mean-Standard Deviation Trade-Off 83(1)
5.4 GMV Portfolio and Mean-Variance Efficiency 83(1)
5.5 Calculus Approach with a Risk-Free Asset 84(4)
5.6 Two-Fund Spanning Again 88(1)
5.7 Orthogonal Projections and Frontier Returns 88(3)
5.8 Risk-Free Return Proxies 91(1)
5.9 Inefficiency of Rp 92(1)
5.10 Hansen-Jagannathan Bound with a Risk-Free Asset 92(1)
5.11 Frontier Returns and Stochastic Discount Factors 93(1)
5.12 Separating Distributions 94(4)
5.13 Notes and References 98(3)
Exercises 99(2)
6 Beta Pricing Models 101(20)
6.1 Beta Pricing 101(2)
6.2 Single-Factor Models with Returns as Factors 103(2)
6.3 The Capital Asset Pricing Model 105(3)
6.4 Returns and Excess Returns as Factors 108(1)
6.5 Projecting Factors on Returns and Excess Returns 109(2)
6.6 Beta Pricing and Stochastic Discount Factors 111(1)
6.7 Arbitrage Pricing Theory 112(4)
6.8 Notes and References 116(5)
Exercises 118(3)
7 Representative Investors 121(14)
7.1 Pareto Optimality Implies a Representative Investor 122(1)
7.2 Linear Risk Tolerance 123(3)
7.3 Consumption-Based Asset Pricing 126(1)
7.4 Pricing Options 127(3)
7.5 Notes and References 130(5)
Exercises 130(5)
II Dynamic Models
8 Dynamic Securities Markets 135(22)
8.1 The Portfolio Choice Problem 136(2)
8.2 Stochastic Discount Factor Processes 138(1)
8.3 Self-Financing Wealth Processes 139(1)
8.4 The Martingale Property 140(2)
8.5 Transversality Conditions and Ponzi Schemes 142(1)
8.6 The Euler Equation 143(2)
8.7 Arbitrage and the Law of One Price 145(1)
8.8 Risk-Neutral Probabilities 146(2)
8.9 Complete Markets 148(2)
8.10 Portfolio Choice in Complete Markets 150(1)
8.11 Competitive Equilibria 151(1)
8.12 Notes and References 152(5)
Exercises 154(3)
9 Portfolio Choice by Dynamic Programming 157(20)
9.1 Introduction to Dynamic Programming 157(3)
9.2 Bellman Equation for Portfolio Choice 160(1)
9.3 The Envelope Condition 161(1)
9.4 Constant Relative Risk Aversion for Terminal Wealth 162(3)
9.5 Constant Relative Risk Aversion for Intermediate Consumption 165(2)
9.6 Constant Relative Risk Aversion with an Infinite Horizon 167(4)
9.7 Notes and References 171(6)
Exercises 173(4)
10 Conditional Beta Pricing Models 177(12)
10.1 From Conditional to Unconditional Models 178(1)
10.2 The Conditional Capital Asset Pricing Model 179(2)
10.3 The Consumption-Based Capital Asset Pricing Model 181(2)
10.4 The Intertemporal Capital Asset Pricing Model 183(4)
10.5 An Approximate Capital Asset Pricing Model 187(1)
10.6 Notes and References 187(2)
Exercises 188(1)
11 Some Dynamic Equilibrium Models 189(15)
11.1 Representative Investors 189(1)
11.2 Valuing the Market Portfolio 190(2)
11.3 The Risk-Free Return 192(1)
11.4 The Equity Premium Puzzle 193(1)
11.5 The Risk-Free Rate Puzzle 194(1)
11.6 Uninsurable Idiosyncratic Income Risk 194(4)
11.7 External Habits 198(3)
11.8 Notes and References 201(3)
Exercises 202(2)
12 Brownian Motion and Stochastic Calculus 204(27)
12.1 Brownian Motion 204(1)
12.2 Quadratic Variation 205(2)
12.3 Ito Integral 207(1)
12.4 Local Martingales and Doubling Strategie 208(1)
12.5 Ito Processes 209(1)
12.6 Asset and Portfolio Returns 210(2)
12.7 Martingale Representation Theorem 212(1)
12.8 Ito's Formula: Version I 212(4)
12.9 Geometric Brownian Motion 216(2)
12.10 Covariations of Ito Processes 218(1)
12.11 Ito's Formula: Version II 219(1)
12.12 Conditional Variances and Covariances 220(2)
12.13 Transformations of Models 222(2)
12.14 Notes and References 224(7)
Exercises 225(6)
13 Securities Markets in Continuous Time 231(25)
13.1 Dividend-Reinvested Asset Prices 231(1)
13.2 Securities Markets 232(2)
13.3 Self-Financing Wealth Processes 234(1)
13.4 Conditional Mean-Variance Frontier 235(1)
13.5 Stochastic Discount Factor Processes 236(1)
13.6 Properties of Stochastic Discount Factor Processes 237(4)
13.7 Sufficient Conditions for MW to be a Martingale 241(1)
13.8 Valuing Consumption Streams 242(1)
13.9 Risk Neutral Probabilities 243(2)
13.10 Complete Markets 245(1)
13.11 Markets without a Risk-Free Asset 246(1)
13.12 Inflation and Foreign Exchange 247(1)
13.13 Notes and References 248(8)
Exercises 249(7)
14 Continuous-Time Portfolio Choice and Beta Pricing 256(27)
14.1 The Static Budget Constraint 256(1)
14.2 Complete Markets 257(2)
14.3 Constant Capital Market Line 259(1)
14.4 Dynamic Programming Example 260(3)
14.5 General Markovian Portfolio Choice 263(2)
14.6 The Consumption-Based Capital Asset Pricing Model 265(2)
14.7 The Intertemporal Capital Asset Pricing Model 267(1)
14.8 The Capital Asset Pricing Model 268(1)
14.9 Infinite-Horizon Dynamic Programming 269(1)
14.10 Value Function for Constant Relative Risk Aversion 269(2)
14.11 Verification Theorem 271(2)
14.12 Notes and References 273(10)
Exercises 275(8)
III Derivative Securities
15 Option Pricing 283(27)
15.1 Introduction to Options 284(2)
15.2 Put-Call Parity and Option Bounds 286(1)
15.3 Stochastic Discount Factor Processes 286(1)
15.4 Changes of Measure 287(2)
15.5 Market Completeness 289(1)
15.6 The Black-Scholes Formula 290(3)
15.7 Delta Hedging 293(3)
15.8 The Fundamental Partial Differential Equation 296(1)
15.9 American Options 297(1)
15.10 Smooth Pasting 298(3)
15.11 European Options on Dividend-Paying Assets 301(1)
15.12 Notes and References 301(9)
Exercises 304(6)
16 Forwards, Futures, and More Option Pricing 310(24)
16.1 Forward Measures 310(1)
16.2 Forward Contracts 311(2)
16.3 Futures Contracts 313(1)
16.4 Exchange Options 314(2)
16.5 Options on Forwards and Futures 316(2)
16.6 Dividends and Random Interest Rates 318(1)
16.7 Implied Volatilities and Local Volatilities 319(2)
16.8 Stochastic Volatility 321(4)
16.9 Notes and References 325(9)
Exercises 326(8)
17 Term Structure Models 334(23)
17.1 Vasicek Model 335(2)
17.2 Cox---Ingersoll---Ross Model 337(2)
17.3 Multifactor Cox---Ingersoll-Ross Models 339(1)
17.4 Affine Models 340(2)
17.5 Completely Affine Models 342(1)
17.6 Quadratic Models 343(1)
17.7 Forward Rates 344(1)
17.8 Fitting the Yield Curve 345(1)
17.9 Heath-Jarrow-Morton Models 346(2)
17.10 Notes and References 348(9)
Exercises 350(7)
IV Topics
18 Heterogeneous Priors 357(14)
18.1 State-Dependent Utility Formulation 358(1)
18.2 Representative Investors in Complete Single-Period Markets 359(2)
18.3 Representative Investors in Complete Dynamic Markets 361(3)
18.4 Short Sales Constraints and Biased Prices 364(2)
18.5 Speculative Trade 366(1)
18.6 Notes and References 367(4)
Exercises 368(3)
19 Asymmetric Information 371(23)
19.1 The No-Trade Theorem 371(2)
19.2 Normal-Normal Updating 373(2)
19.3 A Fully Revealing Equilibrium 375(2)
19.4 Noise Trading and Partially Revealing Equilibria 377(4)
19.5 A Model with a Large Number of Investors 381(2)
19.6 The Kyle Model 383(4)
19.7 The Kyle Model in Continuous Time 387(3)
19.8 Notes and References 390(4)
Exercises 392(2)
20 Alternative Preferences in Single-Period Models 394(20)
20.1 The Ellsberg Paradox 395(1)
20.2 The Sure Thing Principle 396(1)
20.3 Multiple Priors and Max-Min Utility 396(2)
20.4 NonAdditive Set Functions 398(1)
20.5 The Allais Paradox 399(2)
20.6 The Independence Axiom 401(1)
20.7 Betweenness Preferences 402(4)
20.8 Rank-Dependent Preferences 406(2)
20.9 First-Order Risk Aversion 408(1)
20.10 Framing and Loss Aversion 409(1)
20.11 Prospect Theory 410(1)
20.12 Notes and References 410(4)
Exercises 411(3)
21 Alternative Preferences in Dynamic Models 414(23)
21.1 Recursive Preferences 416(2)
21.2 Portfolio Choice with Epstein-Zin-Weil Utility 418(1)
21.3 A Representative Investor with Epstein-Zin-Weil Utility 419(2)
21.4 Internal Habits 421(1)
21.5 Linear Internal Habits in Complete Markets 422(2)
21.6 A Representative Investor with an Internal Habit 424(2)
21.7 Keeping/Catching Up with the Joneses 426(2)
21.8 Ambiguity Aversion in Dynamic Models 428(3)
21.9 Notes and References 431(6)
Exercises 433(4)
22 Production Models 437(19)
22.1 Discrete-Time Model 438(1)
22.2 Marginal q 439(2)
22.3 Costly Reversibility 441(1)
22.4 Project Risk and Firm Risk 442(4)
22.5 Irreversibility and Options 446(2)
22.6 Irreversibility and Perfect Competition 448(1)
22.7 Irreversibility and Risk 449(1)
22.8 Irreversibility and Perfect Competition: An Example 450(1)
22.9 Notes and References 451(5)
Exercises 453(3)
Appendices
A Some Probability and Stochastic Process Theory 456(11)
A.1 Random Variables 456(1)
A.2 Probabilities 457(1)
A.3 Distribution Functions and Densities 457(1)
A.4 Expectations 458(1)
A.5 Convergence of Expectations 459(1)
A.6 Interchange of Differentiation and Expectation 459(1)
A.7 Random Vectors 460(1)
A.8 Conditioning 461(1)
A.9 Independence 462(1)
A.10 Equivalent Probability Measures 463(1)
A.11 Filtrations, Martingales, and Stopping Times 464(1)
A.12 Martingales under Equivalent Measures 464(1)
A.13 Local Martingales 465(1)
A.14 The Usual Conditions 465(2)
Bibliography 467(14)
Index 481
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