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Duffie D. — Security Markets. Stochastic Models
Duffie D. — Security Markets. Stochastic Models



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Название: Security Markets. Stochastic Models

Автор: Duffie D.

Аннотация:

This is a graduate level work covering the economic principles of security markets. Interested readers include students and researchers in economics and finance, as well as financial analysts following the latest theoretical developments in capital asset pricing.


Язык: en

Рубрика: Экономика и финансы/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 1988

Количество страниц: 359

Добавлена в каталог: 26.02.2010

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
$(\cdot \mid \cdot)$      63
$(\Omega, \mathcal{F})$      50
$(\Omega, \mathcal{F}, F, P)$      135
$1_B$      54
$2^\Omega$      52
$A \times B$      32
$A \vartriangle B$      88
$C^r (R^K)$      223
$C^{2,1} (R^K \times [0, \infty ))$      224
$d^\theta$      107
$E(x\mid\mathcal{G})$      84
$F = \{\mathcal{F}_t \colon t \in \mathcal{T} \}$      131
$f \colon X \to Y$      xviii
$F^X = \{\mathcal{F}^X_t \colon t \in \mathcal{T} \}$      133
$f^\infty$      186
$F^\sim$      135
$f_t(x,t)$      224
$f_x(x,t)$      224
$f_{xx}(x,t)$      224
$g\circ f$      xviii
$L'_+$      63
$L^*_+$      63
$L^2(P)$      62
$L^2(\Omega, \mathcal{F}, P)$      62
$L^2[S]$      142
$L^q(\mu)$      61
$L^\infty(\mu)$      62
$L_+$      30
$L_P[S]$      146
$M^{S,C}$      2
$N(\Xi, \mathcal{A})$      110
$p\cdot x$      31
$Q^\theta$      228
$R^n$      29
$X = \{X_t \colon t \in \mathcal{T}\}$      131
$X \cap Y$      xviii
$x \geq 0$      71
$x \gg 0$      71
$x \mapsto f(x)$      xviii
$x \perp y$      64
$x \sim y$      35
$x \succ y$      35
$x \succeq y$      35
$X^+$      53
$X^-$      53
$x^\top y$      32
$x^{-1}(A)$      51
$x_n \to x$      31
$[p;\alpha]$      47
$\#\xi$      104
$\Delta X_t$      135
$\Delta \theta (\xi)$      107
$\gg$      71
$\int \sigma(X_t,t)\, dB_t$      225
$\int \theta\, dS$      139 143
$\int^t_0 \theta^2_\tau\, d[S]_\tau$      142
$\int_B x\, dP$      55
$\int_\Omega x\, dP$      53
$\lim_{\alpha\downarrow\beta} f(\alpha)$      xviii
$\Longleftrightarrow$      xviii
$\Longrightarrow$      xviii
$\mathcal{D}$      226
$\mathcal{E}_{az} (f)$      188
$\mathcal{I}$      39
$\mathcal{J}$      39
$\mathcal{L} (\cdot, \lambda_0)$      76
$\mathcal{L}$      61
$\mathcal{P} (B)$      172
$\mathcal{P}$      140
$\mathcal{T}$      130
$\mathrm{rank}(\cdot)$      110
$\nabla u_i(x)$      5
$\overline{X}$      30
$\partial f(x)$      79
$\prod_{n=1}^N X_n$      33
$\psi \square x$      106
$\sigma (\mathcal{A})$      52
$\sim Y$      204
$\spadesuit$      xix
$\succ$      35
$\succeq$      35
$\{ x_n \}$      31
$\| \cdot \|$      29
$\| \cdot \|_*$      34
$\| \cdot \|_q$      61
$\| \cdot \|_\infty$      62
$\| \cdot \|_\mathcal{S}$      142
$\| \cdot \|_{\mathcal{M}^2}$      142
${}_P \int \theta\, dS$      146
A - B      xviii
A(X)      33
a.e.      53
a.s.      52
Aase, A.      291
Absolutely continuous      82
Action space      184 266
Adapted      131
Addition      28
Adjoined state process      310
Admissible action correspondence      184 188
Admissible control policies      189
Affine      32
Agent’s plan      2
Aghion, P.      130
Algebraic dual      31
Algebraic dual closure      38
Algebraic dual continuity      38
Allen, F.      130
allocation      39
Almost everywhere      53
Almost sure      52
American options      264
apt      94
Araujo, A.      101 320
Arbitrage opportunity      7
Arbitrage pricing theory      94
Arbitrage value      236 237 241
Arbitrage-free      110 113 155 178
Arbitrage-free, strictly      71
Arbitrage-free, weakly      73
ARC      104
Archimedean axiom      58
Arnold, L.      231
Arrow — Debreu equilibrium      40
Arrow — Pratt risk aversion measure, absolute      300
Arrow — Pratt risk aversion measure, relative      215
Arrow, K.      25 49 50 93 116 130 154 168
Asset      62 93
Asymmetry      38
atom      51
Atomless      51
Augmented filtration      135
Augmented production set      44
Augmented state space      176
Aumann, R.      49
Autoregressive process      303
Avondo-Bodino, G.      116
A\B      xviii
B(Z)      174
Bachelier, L.      290
Back, K.      291
Balasko, Y.      117
Ball      29
Banach space      61
Bartle, R.      55 147
Bellman equation      13 184 194 267 270 271
Bellman operator      191
Bellman, R.      201
Bellman’s principle      267 270
Benveniste, L.      219
Berge, C.      201
Bernoulli trials      244
Bertsekas, D.      182 201
Beta      11 94 216
beta function      313
Beta model      94
Beta version of the CCAPM      300
Bewley, T.      49
Bilinear      32
Billingsley, P.      264 265
Binary order      35
Black — Scholes formula      9 22 264
Black, F.      26 101 154
Blackwell, D.      201
Blackwell’s theorem      191
Blume, L.      201
Bolton, P.      130
BOND      233
Borel measurable      52
Borel space      171
Borel tribe      52
Bounded      30 139
Bounded additive set function      88
Bounded linear functional      34
Bourgin, R.      89
Boyd, J.      291
Boyle, P.      265
Bracewell, R.      264
Breeden, D.      130 320
Brock, W.      219
Brown, D.      117
Brownian motion      16 135
Budget constrained allocation      40
Budget feasible      3 13 107 149 158 203 275 294
Burke, J.      129
C(B)      172
Cadlag      135
Cancellation axiom      58
Canonical process      170 174 175 188
Capital asset pricing model      10 11 94 313 315
Carr, P.      264
Cass, D.      116 117 220
Cauchy sequence      61 171
Cauchy — Schwarz inequality      62
Cemetery      176
Center      30
Central limit theorem      9 243
Central limit theorem of Lindberg      245
Central planner’s problem      210
Chae, S.      117
Chamberlain, G.      26 101 320
Chapman — Kolmogorov equation      176
Charge      88
Cheng, S.      264
Choice set      28 35
Choice space      28
Chow, Y.      55
Chung, K.      55 138 147 231
Clarke, F.      81
Closed sets      30 33
Clower constraint      280
Coarsening      83
Coin toss space      51
Column rank      110
Commodity space      2
Common share      118
Compact      31
Compensated equilibrium      44
Competitive equilibrium      40
Complement      30 50
Complementary slackness      77
complete      88 171
Complete binary order      35
Complete financial markets      109
Complete markets      67 68
Complete measure space      88
Complete preference relation      35
Completion of a measure space      88
composition      xviii 54
Concave      32
Concave program      76
Conditional      173
Conditional beta      15
Conditional expectation      84
Cone      30
Cone generated by a set      44
conjugate      62
Connor, G.      90 101
Consol      305
Constantinides, G.      291 320
Consumption allocation      39
Consumption process      106 148 293
Consumption-based capital asset pricing model      15 217 299 314 315
Consumption-based capital asset pricing model, beta version      300
Contingent commodity market equilibrium      2
Continuous function      31 172
Continuous preference relation      35
Continuous process      135
Continuous-time      130
Continuous-time autoregressive process      303
Continuous-time economy      293
Continuous-time portfolio allocation      272
Continuously compounding interest rate      235
Continuously resettled contracts      288
Contraction mapping principle      191
Control policy      184 189
Controlled expectation function      188
Convergence      31 171
Convergence in distribution      243
Convertible bonds      258
Convex      30
Convex function      30
Convex preference relation      35
Core allocation      49
Core relative to a set      37
core(X)      37
Correspondence      199
Cost-of-carry formula      262
Countable      36
cov(x,y)      63
Covariance      63
Cox — Ingersoll — Ross term structure      306 319
Cox, J.      26 264 265 273 291 320
Crown      233
Cum dividend      149
Cumulative distribution function      54
Cumulative dividends      293
CYCLE      104
d(a,b)      171
Davis, M.      291
Day, M.      35 67 74
De Moivre — Laplace limit theorem      244
Debreu conditions      45
Debreu, G.      39 49 50 116 117
Decentralization of production      319
Dekel, E.      60
Dellacherie, C.      138 147 231
DeMarzo, P.      129
Dense      167 179
density      54
Diamond, P.      129
Differentiably strictly convex preferences      114
Diffusion process      17 225
DIMENSION      68
Directed graph      104
Discount bond      217
discount factor      184
Discount rate      177 266
Discrete metric      171
Discrete topology      171
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