Mathematical Financial Economics: A Basic Introduction

By Igor Evstigneev, Thorsten Hens IV, Klaus Reiner Schenk-Hoppe, et al.

Book Overview

​Mean-Variance Portfolio Analysis: Portfolio Selection: Introductory Comments.- Mean-Variance Portfolio Analysis: The Markowitz Model.- Solution to the Markowitz Optimization Problem.- Properties of Efficient Portfolios.- The Markowitz Model with a Risk-Free Asset.- Efficient Portfolios in a Market with a Risk-Free Asset.- Capital Asset Pricing Model (CAPM).- CAPM Continued.- Factor Models and the Ross-Huberman APT.- Problems and Exercises I.- Derivative Securities Pricing: Dynamic Securities Market Model.- Risk-Neutral Pricing.- The Cox-Ross-Rubinstein Binomial Model.- American Derivative Securities.- From Binomial Model to Black-Scholes Formula.- Problems and Exercises II.- Growth and Equilibrium: Capital Growth Theory: Continued.- General Equilibrium Analysis of Financial Markets.- Behavioral Equilibrium and Evolutionary Dynamics.- Problems and Exercises III.- Mathematical Appendices: Facts from Linear Algebra.- Convexity and Optimization.- Sources.

• Format: Paperback
• Language: English
• ISBN: 3319362496
• ISBN13: 9783319362496
• Release Date: October 2016
• Publisher: Springer
• Length: 224 Pages
• Weight: 0.74 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"