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Continuous-Time Asset Pricing Theory

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Cover of 'Continuous-Time Asset Pricing Theory'

Table of Contents

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    Book Overview
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    Chapter 1 Stochastic Processes
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    Chapter 2 The Fundamental Theorems
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    Chapter 3 Asset Price Bubbles
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    Chapter 4 Spanning Portfolios, Multiple-Factor Beta Models, and Systematic Risk
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    Chapter 5 The Black–Scholes–Merton Model
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    Chapter 6 The Heath–Jarrow–Morton Model
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    Chapter 7 Reduced Form Credit Risk Models
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    Chapter 8 Incomplete Markets
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    Chapter 9 Utility Functions
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    Chapter 10 Complete Markets (Utility over Terminal Wealth)
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    Chapter 11 Incomplete Markets (Utility over Terminal Wealth)
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    Chapter 12 Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth)
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    Chapter 13 Equilibrium
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    Chapter 14 A Representative Trader Economy
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    Chapter 15 Characterizing the Equilibrium
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    Chapter 16 Market Informational Efficiency
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    Chapter 17 Epilogue (The Static CAPM)
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    Chapter 18 The Trading Constrained Market
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    Chapter 19 Arbitrage Pricing Theory
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    Chapter 20 The Auxiliary Markets
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    Chapter 21 Super- and Sub-replication
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    Chapter 22 Portfolio Optimization
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    Chapter 23 Equilibrium
Attention for Chapter 7: Reduced Form Credit Risk Models
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