動態(tài)資產價格理論（第3版）

Preface
PART Ⅰ DISCRETE-TIME MODELS
　1　Introduction to State Pricing
　　A Arbitrage and State Prices
　　B Risk-Neutral Probabilities
　　C Optimality and Asset Pricing
　　D Efficiency and Complete Markets
　　E Optimality and Representative Agents
　　F State-Price Beta Models
　　Exercises
　　Notes
　2 The Basic Multiperiod Model
　　A Uncertainty
　　B Security Markets
　　C Arbitrage, State Prices, and Martingales
　　D Individual Agent Optimality
　　E Equilibrium and Pareto Optimality.
　　F Equilibrium Asset Pricing
　　G Arbitrage and Martingale Measures
　　H Valuation of Redundant Securities
　　I American Exercise Policies and Valuation
　　j is Early Exercise Optimal?
Exercises
　　Notes
　3 The Dynamic Programming Approach
　　A The Bellman Approach
　　B First-Order Bellman Conditions
　 C Markov Uncertainty
　 D Markov Asset Pricing
　E Security Pricing by Markov Control
　 F Markov Arbitrage-Free Valuation
　 G Early Exercise and Optimal Stopping
Exercises
Notes
　4　The Infinite-Horizon Setting
　　A Markov Dynamic Programming
　　B Dynamic Programming and Equilibrium
　　C Arbitrage and State Prices
　　D Optimality and State Prices
　　E Method-of-Moments Estimation
　　Exercises
　 Notes
PART Ⅱ CONTINUOUS-TIME MODELS
　5 The Black-Scholes Model
　　A Trading Gains for Brownian Prices
　B Martingale Trading Gains
C Ito Prices and Gains
　 D Ito's Formula
　E The Black-Scholes Option-Pricing Formula
　　F Black-Scholes Formula: First Try
　　G The PDE for Arbitrage-Free Prices
　　H The Feynman-Kac Solution
　　I The Multidimensional Case
　　Exercises
　　Notes
　6　State Prices and Equivalent Martingale Measures
　　A Arbitrage
　　B Numeraire Invariance
　　C State Prices and Doubling Strategies
　　D Expected Rates of Return
……
7　Term-Structure Models
8 Derivative Pricing
9 Portfolio and Consumption Choice
10 Equilibrium
11 Comrporate Securities
12 Numerical Methods
APPENDIXES