Asset Pricing

1. Introduction.- 1 Main Goals.- 2 The Importance of The No-Arbitrage Theory.- 3 The Discrete Time Approach and Some Key Features of This Book.- 4 Comparisons with Other Textbooks.- 5 A Brief Summary of the Contents.- 2. Options, Futures and Other Derivatives.- 1 Overview.- 2 No-Arbitrage and Put-Call Parity.- 3 Exotic Options.- 4 Forward Contracts and Futures.- 3. Basic Probability Theory.- 1 Overview.- 2 Conditional Distributions and Conditional Expectations.- 3 Multivariate Normal Distribution and Normal Mixture Distribution.- 4 Nonlinear Time Series Model.- 4. Pricing Models for Financial Assets.- 1 Overview.- 2 Stochastic Processes and Brownian Motion.- 3 Martingale and Product Process.- 4 log-DD Process and Change of Probability Measures.- 5. General No-Arbitrage Asset Price Theory.- 1 Overview.- 2 Basic Framework of No-Arbitrage Price Theory.- 3 Condition for No-Arbitrage.- 4 Price Theory for Derivatives and the Black-Scholes Formula.- 5 No-Arbitrage Binomial Process and Replicability of an Option.- 6 Martingale Condition for log-DD Process.- 6. Model Specifications in Applications.- 1 Overview.- 2 Self-Consistency Tests for Models.- 3 Multi-Factor Model - Identifiability and Estimation.- 4 Model under Original Measure Q vs Risk Neutral Model under Equivalent Measure Q*.- 7. Valuation of Derivatives Via Monte Carlo Methods.- 1 Overview.- 2 Monte Carlo Method.- 3 Variance Reduction Methods.- 4 General Theory for CV Methods.- 8. Stock Option Theory and Its Applications.- 1 Overview.- 2 General Price Theory for a Stock Option.- 3 Black-Scholes (BS) Formula.- 4 BS Option Portfolios.- 5 Valuation of Exotic Options.- 6 GARCH Model and Stochastic Volatility Model.- 7 Valuation of an American Put.- 9. Currency Options.- 1 Overview.- 2 Pricing Currency Options.- 3Currency Options Containing Stocks.- 4 A Condition for No-Arbitrage.- 10. The Term Structure of Spot Rates.- 1 Overview.- 2 Spot Rate and No-Arbitrage Price of a Discount Bond.- 3 One Factor Term Structure