Description
Book SynopsisFor PhD finance courses in business schools, there is equal emphasis placed on mathematical rigour as well as economic reasoning. Advanced Finance Theories provides modern treatments to five key areas of finance theories in Merton's collection of continuous time work, viz. portfolio selection and capital market theory, optimum consumption and intertemporal portfolio selection, option pricing theory, contingent claim analysis of corporate finance, intertemporal CAPM, and complete market general equilibrium. Where appropriate, lectures notes are supplemented by other classical text such as Ingersoll (1987) and materials on stochastic calculus.
Table of ContentsIntertemporal Portfolio Section, Bellman equation Optimum Decision under CRRA, CARA, HARA; Stochastic Calculus, Geometrics Brownian Motion, Ito's Lemma, Characteristic Function, Solving Affine Models, Fourier Transform; Optimum Demand and Mutual Fund Theorem; Capital Structure, Pricing Defaultable Bond, Reverse Convertible; General Equilibrium, Aggregate Demand; Capital Market Theory: Risk Measures, Spanning and Mutual Fund Theorem, Rothchild and Stiglitz's "Less Risky", Tobin-Markowitz Separation Theorem, Market Portfolio and CAPM, Arbitrage Pricing Theory, Modigliani-Miller Hypothesis; Discontinuity in Continuous Time, Jumps, Rare Events, Poisson; Incomplete Markets.
