Quantitative Finance (eBook)

An Introduction to Investments, Asset Pricing, and Derivatives

Johan Walden (Autor)

eBook Download: EPUB

2026
906 Seiten
Princeton University Press (Verlag)
978-0-691-28589-4 (ISBN)

Infos

A graduate-level, mathematically rigorous introduction to the tools, methods, and approaches used in contemporary quantitative financeThis book offers a theory-oriented introduction to investments, asset pricing, and derivatives. Designed for a quantitative master's program in finance, it is grounded by what works in the classroom. Presenting its topics in a unified, self-contained framework, the book is specifically appropriate for courses in asset pricing and derivatives pricing but may also be used for courses in investments, asset management, and portfolio management. Students will learn how to make decisions under uncertainty and over time, how to choose an investment portfolio, and how to characterize the prices and returns of financial assets in equity, bond, and derivative markets. The book focuses on a number of classical models and theories in quantitative finance and covers selected advanced and newer topics in its final section. Proofs and in-depth theoretical results within quantitative finance appear throughout the book along with examples and end-of-chapter exercises to facilitate and support the learning process.Part I covers the capital asset pricing model, the Lucas model, the static Arrow-Debreu model, consumption-based asset pricing, and the arbitrage pricing theory, and introduces preliminary theories of decision-making and portfolio choicePart II covers no-arbitrage theory, with applications to derivatives and bond markets, beginning with a static economy and then gradually moving to the continuous-time setting; it includes the advanced mathematical tools needed for continuous-time financePart III covers selected advanced and newer topics, including equilibrium models in continuous time, the variance gamma option pricing model, and the Ross recovery theoremAn appendix presents mathematical concepts and results from set theory, topology, linear algebra, matrix theory, and analysis

Produkt-Details

• Erscheint lt. Verlag: 6.1.2026
• Zusatzinfo: 85 b/w illus. 1 table.
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: AD Security • aggregate consumption • Arbitrage • Arbitrage opportunity • Arbitrage portfolio • Arrow debreu • asset prices • Asset Pricing • asset returns • Asymptotic arbitrage • aversion • Aversion coefficient • binomial • Binomial Tree • Black-Scholes • Bond • Brownian motion • cash flows • coefficient • Complete market • constant relative risk aversion utility • Consumption Smoothing • Contingent Claim • continuous function • Continuously differentiable • Covariance matrix • Definition • demand function • Density Function • Derivative • Differential Equations • Diffusion • diffusion processes • Discount Factor • Distributed random • dividends • Dollar • economy • Equilibrium • Equilibrium Price • Equity Premium • Equity Premium Puzzle • Expected returns • Expected Utility • Expected utility function • EZ preferences • Feynman kac • Indirect utility • Investment • investment opportunity • Investor wealth • Kac theorem • Law motion • Linear • Log utility • lottery • marginal utility • Market Arbitrage • Market Clearing • market portfolio • Mean Variance • Mean variance efficient • multivariate • Neutral measure • Neutral pricing • normally distributed • Optimal Portfolio • Ornstein uhlenbeck • Portfolio Choice • portfolio strategy • Portfolio weights • Price function • Price vector • Pricing Kernel • Probability Density • Probability density function • Random Variable • Representative Agent • Riemann stieltjes • Risky asset • Sharpe Ratio • sigma algebra • Stochastic discount • Stock • Stock Price • Strictly concave • Trading Strategy • Utility Function • Volatility • Wealth • Wiener
• ISBN-10: 0-691-28589-6 / 0691285896
• ISBN-13: 978-0-691-28589-4 / 9780691285894