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This textbook takes the reader from the level of microeconomics principles through to modern asset pricing theory. Yvan Lengwiler elegantly links together issues that have in the past been the territory of general economic theorists on the one hand, and financial economists on the other. In a sequence of carefully explained steps, the reader learns how the first welfare theorem is used in asset pricing theory. The book then moves on to explore Radner economies and von Neumann-Morgenstern decision theory, and this section culminates in Wilson's mutuality principle and the consumption-based CAPM. This is then put into a dynamic setting, and term structure models are introduced. The empirical s...
This Textbook Takes The Reader From The Level Of Microeconomics Principles Through To Modern Asset Pricing Theory. Yvan Lengwiler Elegantly Links Together Issues That Have In The Past Been The Territory Of General Economic Theorists On The One Hand, And Financial Economists On The Other.In A Sequence Of Carefully Explained Steps, The Reader Learns How The First Welfare Theorem Is Used In Asset Pricing Theory. The Book Then Moves On To Explore Radner Economies And Von Neumann-Morgenstern Decision Theory, And This Section Culminates In Wilson'S Mutuality Principle And The Consumption-Based Capm. This Is Then Put Into A Dynamics Setting, And Term Structure Models Are Introduced. The Empirical S...
Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can...
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