Mark S. Joshi is a researcher and consultant in mathematical finance, and a Professor at the University of Melbourne. His research focuses on derivatives pricing and interest rate derivatives in particular. He is the author of numerous research articles on quantitative finance and four books.
Inhaltsangabe
Preface 1. Definitions of risk and return 2. Efficient portfolios: the two-asset case 3. Portfolios with a risk-free asset 4. Finding the efficient frontier ¿ the multi-asset case 5. Single-factor models 6. Multi-factor models 7. Introducing utility 8. Utility and risk aversion 9. Foundations of utility theory 10. Maximising long-term growth 11. Stochastic dominance 12. Risk measures 13. The Capital Asset Pricing Model 14. The arbitrage pricing model 15. Market efficiency and rationality 16. Brownian motion and stock price models across time Appendix A. Matrix algebra Appendix B. Solutions References Index.
Preface 1. Definitions of risk and return 2. Efficient portfolios: the two-asset case 3. Portfolios with a risk-free asset 4. Finding the efficient frontier ¿ the multi-asset case 5. Single-factor models 6. Multi-factor models 7. Introducing utility 8. Utility and risk aversion 9. Foundations of utility theory 10. Maximising long-term growth 11. Stochastic dominance 12. Risk measures 13. The Capital Asset Pricing Model 14. The arbitrage pricing model 15. Market efficiency and rationality 16. Brownian motion and stock price models across time Appendix A. Matrix algebra Appendix B. Solutions References Index.
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