Theory of Financial Decision Making

Contents......Page 2
List of Tables......Page 4
List of Figures......Page 5
Preface......Page 6
Glossary of Commonly Used Symbols......Page 8
Mathematical Introduction......Page 11
1 Utility Theory......Page 20
2 Artbitrage and Pricing: The Basics......Page 33
3 The Portfolio Problem......Page 43
4 Mean-Variance Portfolio Analysis......Page 52
5 Generalized Risk, Portfolio Selection, and Asset Pricing......Page 68
6 Portfolio Separation Theorems......Page 81
7 The Linear Factor Model: Arbitrage Pricing Theory......Page 94
8 Equilibrium Models withComplete Markets......Page 104
9 General EquilibriumConsiderations in Asset Pricing......Page 110
10 Intertemporal Models in Finance......Page 121
11 Discrete-time IntertemporalPortfolio Selection......Page 128
12 An Introduction to the Distributionsof Continuous-Time Finance......Page 140
13 Continuous- Time PortfolioSelection......Page 146
14 The Pricing of Options......Page 160
15 Review of Multiperiod Models......Page 175
16 An Introduction toStochastic Calculus......Page 184
17 Advanced Topics in OptionPricing......Page 191
18 The Term Structure ofInterest Rates......Page 204
19 Pricing the Capital Structureof the Firm......Page 216
Bibliography......Page 235
Index......Page 243