Efnisyfirlit

• CONTENTS
• PREFACE
• Chapter 1 INTRODUCTION
  • 1.1 Cash Flows
  • 1.2 Investments and Markets
    • The Comparison Principle
    • Arbitrage
    • Dynamics
    • Risk Aversion
  • 1.3 Typical Investment Problems
    • Pricing
    • Hedging
    • Risk Assessment and Management
    • Pure Investment
    • Other Problems
  • 1.4 Organization of the Book
    • Deterministic Cash Flow Streams
    • Single-Period Random Cash Flow Streams
    • Derivative Assets
    • General Cash Flow Streams
• Part I: DETERMINISTIC CASH FLOWSTREAMS
  • Chapter 2 THE BASIC THEORY OF INTEREST
    • 2.1 Principal and Interest
    • 2.2 Present Value
    • 2.3 Present and Future Values of Streams
    • 2.4 Internal Rate of Return
    • 2.5 Evaluation Criteria
    • 2.6 Applications and Extensions*
    • 2.7 Summary
    • Exercises
    • References
  • Chapter 3 FIXED-INCOME SECURITIES
    • 3.1 The Market for Future Cash
    • 3.2 Value Formulas
    • 3.3 Bond Details
    • 3.4 Yield
    • 3.5 Duration
    • 3.6 Immunization
    • 3.7 Convexity*
    • 3.8 Summary
    • Exercises
    • References
  • Chapter 4 THE TERM STRUCTURE OF INTEREST RATES
    • 4.1 The Yield Curve
    • 4.2 The Term Structure
    • 4.3 Forward Rates
    • 4.4 Term Structure Explanations
    • 4.5 Expectations Dynamics
    • 4.6 Running Present Value
    • 4.7 Floating-Rate Bonds
    • 4.8 Duration
    • 4.9 Immunization
    • 4.10 Summary
    • Exercises
    • References
  • Chapter 5 APPLIED INTEREST RATE ANALYSIS
    • 5.1 Capital Budgeting
    • 5.2 Optimal Portfolios
    • 5.3 Dynamic Cash Flow Processes
    • 5.4 Optimal Management
    • 5.5 The Harmony Theorem*
    • 5.6 Valuation of a Firm*
    • 5.7 Summary
    • Exercises
    • References
• Part II: SINGLE-PERIOD RANDOM CASH FLOWS
  • Chapter 6 MEAN–VARIANCE PORTFOLIO THEORY
    • 6.1 Asset Return
    • 6.2 Random Variables
    • 6.3 Random Returns
    • 6.4 Portfolio Mean and Variance
    • 6.5 The Feasible Set
    • 6.6 The Markowitz Model
    • 6.7 The Two-Fund Theorem*
    • 6.8 Inclusion of a Risk-Free Asset
    • 6.9 The One-Fund Theorem
    • 6.10 Summary
    • Exercises
    • References
  • Chapter 7 THE CAPITAL ASSET PRICING MODEL
    • 7.1 Market Equilibrium
    • 7.2 The Capital Market Line
    • 7.3 The Pricing Model
    • 7.4 The Security Market Line
    • 7.5 Investment Implications
    • 7.6 Performance Evaluation
    • 7.7 CAPM as a Pricing Formula
    • 7.8 Project Choice*
    • 7.9 Projection Pricing
    • 7.10 Correlation Pricing
    • 7.11 Summary
    • Exercises
    • References
  • Chapter 8 OTHER PRICING MODELS
    • 8.1 Introduction
    • 8.2 Factor Models
    • 8.3 The CAPM as a Factor Model
    • 8.4 Arbitrage Pricing Theory*
    • 8.5 Projection Pricing with Factors
    • 8.6 A Multiperiod Fallacy
    • 8.7 Summary
    • Exercises
    • References
  • Chapter 9 DATA AND STATISTICS
    • 9.1 Basic Estimation Methods
    • 9.2 Estimation of Other Parameters
    • 9.3 The Effect of Estimation Errors
    • 9.4 Conservative Approaches
    • 9.5 Tilting Away From Equilibrium*
    • 9.6 Summary
    • Exercises
    • References
  • Chapter 10 RISK MEASURES
    • 10.1 Value at Risk
    • 10.2 Computation of Value at Risk
    • 10.3 Criticisms of VaR
    • 10.4 Coherent Risk Measures
    • 10.5 Conditional Value at Risk
    • 10.6 Coherent Characterization*
    • 10.7 Convexity*
    • 10.8 Summary
    • Exercises
    • References
  • Chapter 11 GENERAL PRINCIPLES
    • 11.1 Introduction
    • 11.2 Utility Functions
    • 11.3 Risk Aversion
    • 11.4 Specification of Utility Functions
    • 11.5 Utility Functions and the Mean–Variance Criterion*
    • 11.6 Linear Pricing
    • 11.7 Portfolio Choice
    • 11.8 Arbitrage Bounds
    • 11.9 Zero-Level Pricing
    • 11.10 Log-Optimal Pricing*
    • 11.11 Finite State Models
    • 11.12 Risk-Neutral Pricing
    • 11.13 Summary
    • Exercises
    • References
• Part III: DERIVATIVE SECURITIES
  • Chapter 12 FORWARDS, FUTURES, AND SWAPS
    • 12.1 Pricing Principles
    • 12.2 Forward Contracts
    • 12.3 Forward Prices
    • 12.4 The Value of a Forward Contract
    • 12.5 Swaps*
    • 12.6 Basics of Futures Contracts
    • 12.7 Futures Prices
    • 12.8 Relation to Expected Spot Price*
    • 12.9 The Perfect Hedge
    • 12.10 The Minimum-Variance Hedge
    • 12.11 Optimal Hedging*
    • 12.12 Hedging Nonlinear Risk*
    • 12.13 Summary
    • Exercises
    • References
  • Chapter 13 MODELS OF ASSET DYNAMICS
    • 13.1 Binomial Lattice Model
    • 13.2 The Additive Model
    • 13.3 The Multiplicative Model
    • 13.4 Typical Parameter Values*
    • 13.5 Lognormal Random Variables
    • 13.6 Random Walks and Wiener Processes
    • 13.7 A Stock Price Process
    • 13.8 Ito’s Lemma*
    • 13.9 Binomial Lattice Revisited
    • 13.10 Summary
    • Exercises
    • References
  • Chapter 14 BASIC OPTIONS THEORY
    • 14.1 Option Concepts
    • 14.2 The Nature of Option Values
    • 14.3 Option Combinations and Put–Call Parity
    • 14.4 Early Exercise
    • 14.5 Single-Period Binomial Options Theory
    • 14.6 Multiperiod Options
    • 14.7 More General Binomial Problems
    • 14.8 Evaluating Real Investment Opportunities
    • 14.9 General Risk-Neutral Pricing*
    • 14.10 Three-principle Power
    • 14.11 Summary
    • Exercises
    • References
  • Chapter 15 ADDITIONAL OPTIONS TOPICS
    • 15.1 Introduction
    • 15.2 The Black–Scholes Equation
    • 15.3 Call Option Formula
    • 15.4 Risk-Neutral Valuation*
    • 15.5 Delta
    • 15.6 Replication, Synthetic Options, and Portfolio Insurance*
    • 15.7 Volatility Smiles
    • 15.8 Computational Methods
    • 15.9 Exotic Options
    • 15.10 Comparison of Methods
    • 15.11 Storage Costs and Dividends*
    • 15.12 Martingale Pricing*
    • 15.13 Axioms and Black–Scholes
    • 15.14 Summary
    • Exercises
    • References
  • Chapter 16 INTEREST RATE DERIVATIVES
    • 16.1 Examples of Interest Rate Derivatives
    • 16.2 The Need for a Theory
    • 16.3 The Binomial Approach
    • 16.4 Pricing Applications
    • 16.5 Leveling and Adjustable-Rate Loans*
    • 16.6 The Forward Equation
    • 16.7 Matching the Term Structure
    • 16.8 Immunization
    • 16.9 Collateralized Mortgage Obligations*
    • 16.10 Models of Interest Rate Dynamics*
    • 16.11 Continuous-Time Solutions*
    • 16.12 Extensions
    • 16.13 Summary
    • Exercises
    • References
  • Chapter 17 CREDIT RISK
    • 17.1 The Classic Merton Model
    • 17.2 First Passage Times
    • 17.3 Rating Methods
    • 17.4 Intensity (Reduced-Form) Model
    • 17.5 Stochastic Intensity Model*
    • 17.6 Intermediate Receipts
    • 17.7 Analytically Tractable Cox Processes
    • 17.8 Simulation
    • 17.9 Lattice Methods
    • 17.10 Correlated Defaults
    • 17.11 Credit Derivatives
    • 17.12 Summary
    • Exercises
    • References
• Part IV: GENERAL CASH FLOWSTREAMS
  • Chapter 18 OPTIMAL PORTFOLIO GROWTH
    • 18.1 The Investment Wheel
    • 18.2 The Log Utility Approach to Growth
    • 18.3 Properties of the Log-Optimal Strategy*
    • 18.4 Alternative Approaches*
    • 18.5 Continuous-Time Growth
    • 18.6 The Feasible Region
    • 18.7 The Log-Optimal Pricing Formula*
    • 18.8 Log-Optimal Pricing and the Black–Scholes Equation*
    • 18.9 Summary
    • Exercises
    • References
  • Chapter 19 GENERAL INVESTMENT EVALUATION
    • 19.1 General Present Value
    • 19.2 Multiperiod Securities*
    • 19.3 Risk-Neutral Pricing
    • 19.4 Optimal Pricing
    • 19.5 The Double Lattice
    • 19.6 Pricing in a Double Lattice
    • 19.7 Investments with Private Uncertainty
    • 19.8 Buying Price Analysis
    • 19.9 Pricing Axioms for Continuous Time
    • 19.10 Summary
    • Exercises
    • References
• Appendix A: BASIC PROBABILITY THEORY
  • A.1 General Concepts
  • A.2 Normal Random Variables
  • A.3 Lognormal Random Variables
• Appendix B: CALCULUS AND OPTIMIZATION
  • B.1 Functions
  • B.2 Differential Calculus
  • B.3 Optimization
• ANSWERS TO EXERCISES
• INDEX
  • A
  • B
  • C
  • D
  • E
  • F
  • G
  • H
  • I
  • J
  • K
  • L
  • M
  • N
  • O
  • P
  • Q
  • R
  • S
  • T
  • U
  • V
  • W
  • Y
  • Z

  UM RAFBÆKUR Á HEIMKAUP.IS

  Bókahillan þín er þitt svæði og þar eru bækurnar þínar geymdar. Þú kemst í bókahilluna þína hvar og hvenær sem er í tölvu eða snjalltæki. Einfalt og þægilegt!
  
  Rafbók til eignar
  Rafbók til eignar þarf að hlaða niður á þau tæki sem þú vilt nota innan eins árs frá því bókin er keypt.
  
  Þú kemst í bækurnar hvar sem er
  Þú getur nálgast allar raf(skóla)bækurnar þínar á einu augabragði, hvar og hvenær sem er í bókahillunni þinni. Engin taska, enginn kyndill og ekkert vesen (hvað þá yfirvigt).
  
  Auðvelt að fletta og leita
  Þú getur flakkað milli síðna og kafla eins og þér hentar best og farið beint í ákveðna kafla úr efnisyfirlitinu. Í leitinni finnur þú orð, kafla eða síður í einum smelli.
  
  Glósur og yfirstrikanir
  Þú getur auðkennt textabrot með mismunandi litum og skrifað glósur að vild í rafbókina. Þú getur jafnvel séð glósur og yfirstrikanir hjá bekkjarsystkinum og kennara ef þeir leyfa það. Allt á einum stað.
  
  Hvað viltu sjá? / Þú ræður hvernig síðan lítur út
  Þú lagar síðuna að þínum þörfum. Stækkaðu eða minnkaðu myndir og texta með multi-level zoom til að sjá síðuna eins og þér hentar best í þínu námi.
  
  
  
  Fleiri góðir kostir
  - Þú getur prentað síður úr bókinni (innan þeirra marka sem útgefandinn setur)
  - Möguleiki á tengingu við annað stafrænt og gagnvirkt efni, svo sem myndbönd eða spurningar úr efninu
  - Auðvelt að afrita og líma efni/texta fyrir t.d. heimaverkefni eða ritgerðir
  - Styður tækni sem hjálpar nemendum með sjón- eða heyrnarskerðingu