By John C. Hull
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Additional resources for Options, Futures, and Other Derivatives with Derivagem CD (7th Edition)
The two typical motivations of mean-variance preferences have different resolutions of this conundrum Quadratic utility does not prefer more to less, so there is no inconsistency This is not a nice feature of quadratic utility but it may not be a fatal problem either Multivariate normality does not define preferences for all random variables, and in particular the random variables that generate the paradox are not available When using any model, we need to think about whether the unrealistic features of the model are important for the application at hand.
1 Preference approach The preference approach focuses on classes of special utility functions Many of the results involve utility functions that have properties of homotheticity or invariance It is important that we require the same funds to work for each utility function at all wealth levels, since this avoids "accidental" cases such as a set containing any two utility functions over returns Analysis in this section will use Problem 3, in some cases adding the assumption that one of the assets is riskless.
7 678 682 686 687 691 693 695 696 699 702 702 705 708 711 Endogenous default timing Example: Brownian dividend growth Taxes, bankruptcy costs, capital structure Intensity-based modeling of default Zero-recovery bond pricing 712 Pricing with recovery at default Default-adjusted short rate 722 724 725 References 713 717 719 721 Ch 11: IntertemporalAsset Pricing Theory 641 Abstract This is a survey of the basic theoretical foundations of intertemporal asset pricing theory The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices The existence of state prices is equivalent to the absence of arbitrage State prices, which can be obtained from optimizing investors' marginal rates of substitution, can be used to price contingent claims In equilibrium, under locally quadratic utility, this leads to Breeden's consumption-based capital asset pricing model American options call for special handling After extending the basic modeling approach to continuous-time settings, we turn to such applications as the dynamics of the term structure of interest rates, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities.