Advanced Asset Pricing Theory

DOI10.1142/p745zbMath1288.91002OpenAlexW3124909159MaRDI 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

optionsstochastic processesinterest ratesBlack-Scholes modelcontingent claimsrisk measuresportfolio managementoptimal trading strategyasset pricing theorydiscrete-time modelingstochastic differential utilitysequential choiceequilibrium asset pricingcontinuous-time modeling

Mathematics Subject Classification ID

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

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