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| Duffie D. — Security Markets. Stochastic Models |
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| Предметный указатель |
Martingale generator 146
Martingale multiplicity 146
Mas-Colell, A. 49 82 101 117 219 320
Maximizes 75
McKenzie, L. 49
McLennan, A. 25 219
McManus, D. 117
Mean-variance 100
Mean-variance efficient 313
Measurable 50
Measurable function 51
Measurable selection of maximum 190
Measurable space 50
Measure 50
Measure space 51
Mehra, R. 219 220
Merton, R. 26 264 265 290 291 320
Metric 171
Metric space 171
Metric topology 171
Meyer, P.-A. 89 138 147 182 231
Miller, M. xvii 129
Minkowski’s inequality 66
Mirrlees, J. 290
Mixture space 57
Mixture space theorem 58
Modigliani — Miller theorem 123
Modigliani, F. 129
Monotone extension theorem 73
Monotonic 57 191
Monotonic preference relation 36
Monteiro, P. 101 320
Morton, A. 266
Mossin, J. xvii
Muliere, S. 93 168
Natural 136
Negative part 53
Negative transitivity 38
Negligible 52
Nermuth, M. 117
Net trade exchange economy 41
Nielson, L. 101
No-arbitrage 178
No-arbitrage terminal 106
No-free-lunch 168
Non-satiated 37 108
Non-satiated in a subspace 158
Non-satiated nearby 37
Norm 29
Norm topology 31
Normally distributed 55
Norman, A. 291
Normed space 31
Null vector 29
Numeraire 156
Ohashi, K. 168
Oksendal, B. 231
open 30 171
Operator 190
Optimal 119 190
Optimal control 185 267
Optimal plan 107 150
Optimal trading strategy 158
Optimization problem 76
Option pricing formula 9 10 22
Ordering 30
Origin 29
Orthant 30
Orthogonal 64
Orthogonal projection 65
Outcome space 51
Overlapping generations model 220
O’Hara, M. 201
O’Nan, M. 18
Pages, H. 291
Parallelogram inequality 34 66
Pareto optimal 42
Parkinson, M. 264
Parthasarathy, K. 182 201
Partition 52
Path space 249
Path-dependent crown 252
PDE 239
Perlman, M. 89
Perpendicular 64
Phelps, E. 290 182 201
Plan for firm 122
Pliska, S. 147 154 168 291
Pointwise 30
poisson 135
Poisson distribution 55
Poisson process 136
Poisson returns processes 265
Polemarchakis, H. 117 130
Policy 203
Polish space 171
Portfolio 10 69
Portfolio insurance 288
Portfolio process 294
Positive 30 178
Positive cone 30
Positive dual cone 63
Positive part 53
Power set 52
Pre-Hilbert space 66
Pre-trade vertex 107
Predictable 139 140
Predictable compensator 147
Preference relation 35
Preference relation, boundary condition 114
Preference relation, continuous 35
Preference relation, convex 35
Preference relation, differentiably strictly convex 114
Preference relation, monotonic 36
Prescott, E. 219
Price functional 1 31
Price process 106 148 149
Price supported allocation 42
Pricing asset 94
Principle of optimality 194
Prisman, E. 168
Probability measure 51
Probability of an event 51
Probability space 51
PRODUCT 32 33
Product metric 172
Production allocation 39
Production set 39
Production-exchange economy 40
Prohorov metric 182
Proper Markov 177
Proper preference relation 97
Pseudo-price process 242
Pshenichnii’s theorem 82
Purely financial securities 114
Pythagorean Theorem 66
Quadratic variation 141
Quality delivery option 264
Quasi-concave 36
Quinzii, M. 130
RADIUS 30
Radner, R. 117 154
Radon — Nikodym derivative 82
Raikov, D. 35 74
Ramaswamy, K. 320
Random Stieltjes integral 141
Random variable 51
Rank 110
Raviv, A. 130
rcll 134
| Real rate of interest 298
Real securities 114
Recession cone 33
Redundant 68 236
Reed, M. 67
Reference measure 177
refinement 83
Regular 122
Regular trading strategies 122
Replicating trading strategy 241
Representative agent 23 81 297
Repullo, R. 117
Repute 71
Resettlement 290
RETURN 11 94
Revuz, D. 182
Reward function 184 188
Richard, S. 39 101 291
Richardson, H. 291
Riesz representation theorem 62
Right derivative 97
Right-continuous 134
Right-continuous filtration 135
Right-limits 134
Rishel, R. 273
Risk averse 90
Risk neutral 90
Risk tolerance 314
Riskless 10
Riskless bond 149
Riskless rate of return 276
Riskless security 100
Robertson, A. 35
Robertson, W. 35
Rockafellar, T. 81
Root vertex 104
Ross, S. 26 55 90 101 168 201 264 273 320
Rothschild, M. 92 101
Royden, H. xviii 55 67 147
Rubinstein, M. 26 264 265
Rudin, W. 89
Saddle point 76
Saddle point theorem 77
Sample path history 173
Sample path space 170 173 188
Samuelson, P. 220 290
Savage model of preferences 56
Scala multiplication 28
scalar 28
Scarsini, M. 93
Schaefer, H. 35 67
Schael, M. 201
Schauder fixed point theorem 181
Scheinkman, J. 219
Scholes, M. 26 154
Second order stochastic dominance 91
Second Welfare theorem 43 47
Security 68 106 148
Security market exchange economy 69
Security market system 113
Security set 68
Security-spot market equilibrium 3
Segment 37
Self-financing trading strategy 21 157 236
Semimartingale 137
Separable 36
Separating hyperplane 47
Separating hyperplane theorem 43 46
Separating hyperplane theorem for Euclidean spaces 47
Sethi, S. 148 291
Shafer, W. 39 49 117
Shah, S. 130
shareholder value 123
Sharp brackets process 147
Sharpe, W. 26 101 264
Shefrin, H. 117
Shiryayev, A. 231
Short sales 101
Shreve, S. 154 182 201 291 320
Simon, B. 67
Simple random variable 53
simplex 184
Single-beta asset pricing mode 313
Singleton, K. 321
Skorohod 135 236
Skorohod, A. 231 273
Slack 108 157
Smooth preference 117
Sondermann, D. 168
Sonnenschein, H. 25 26 49
Sosin, H. 265
span 10 67
span(A) 67
spanning 150
Spanning number 110 153
Spanning securities 4
Spear, S. 220
Spectral radius 181
Spot price process 106 148
square-integrable 140 294
Srinivasan, T. 290
Srivastava, S. 220
Standard Brownian motion 16 135 136
Standard filtration 136
State process 266
State space 173 184 266
State-independent 57
State-independent preferences 57
State-price 71 155
State-price function 212
State-price process 115 118
Stationary 76
Stationary Markov 190
Stationary Markov control 267
Stationary Markov equilibrium 212
Stationary Markov policy 186
Steady-state distribution 181
Stieltjes integral 54
Stiemke’s lemma 71
Stiglitz, J. 92 129 130
Stirling’s formula 244
Stochastic difference equation 16
Stochastic differential 145 223
Stochastic differential equation 17 224
Stochastic dominance 91
Stochastic economy 149
Stochastic Euler equation 14 207 297
Stochastic growth 210
Stochastic integral 139 143
Stochastic process 131
Stochastic production economy 118
Stock market equilibrium 119 122
Stokey, N. 219
Stopping time 136
Stricker, C. 148
Strict contraction 191
Strict preference order 35 38
Strictly increasing 36
Strictly monotonic preferences 36
Strictly positive continuous linear functional 87
Strictly positive linear extension 72
Strictly positive linear functional 72
Strictly preferred 35
Strictly price supported allocation 40
Strictly risk averse 90
Strictly variance averse 10 95
Strongly convex 38
Stroock, D. 231
Sub-Markov 177
Sub-Markov transition operator 176
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