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CHRISTIAN MENN, DR. RER. POL., is Hochschulassistent at the Chair of Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe. Currently, he is a Visiting Scientist at the School of Operations Research and Industrial Engineering at Cornell University as a postdoctoral fellow.
FRANK J. FABOZZI, PhD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. He is also a Fellow of the International Center for Finance at Yale University. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School at MIT. Fabozzi has authored and edited many acclaimed books in finance and is also the Editor of the Journal of Portfolio Management.
Preface | xi | ||||
About the Authors | xiii | ||||
CHAPTER 1 Introduction | 1 | (10) | |||
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5 | (3) | |||
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8 | (3) | |||
PART ONE Probability and Statistics | 11 | (108) | |||
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13 | (10) | |||
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14 | (1) | |||
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14 | (1) | |||
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15 | (1) | |||
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15 | (1) | |||
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16 | (5) | |||
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21 | (2) | |||
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23 | (24) | |||
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23 | (6) | |||
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29 | (3) | |||
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32 | (14) | |||
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46 | (1) | |||
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47 | (10) | |||
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47 | (1) | |||
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48 | (1) | |||
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48 | (1) | |||
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48 | (1) | |||
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49 | (1) | |||
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50 | (3) | |||
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53 | (2) | |||
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55 | (1) | |||
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56 | (1) | |||
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57 | (14) | |||
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57 | (1) | |||
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58 | (1) | |||
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59 | (1) | |||
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60 | (7) | |||
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67 | (3) | |||
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70 | (1) | |||
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71 | (10) | |||
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71 | (1) | |||
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72 | (1) | |||
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73 | (1) | |||
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74 | (7) | |||
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81 | (12) | |||
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82 | (3) | |||
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85 | (4) | |||
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89 | (3) | |||
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92 | (1) | |||
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93 | (26) | |||
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93 | (3) | |||
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96 | (5) | |||
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101 | (4) | |||
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105 | (4) | |||
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109 | (2) | |||
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111 | (6) | |||
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117 | (2) | |||
PART TWO Stochastic Processes | 119 | (42) | |||
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121 | (22) | |||
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121 | (9) | |||
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130 | (3) | |||
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133 | (7) | |||
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140 | (3) | |||
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143 | (18) | |||
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144 | (3) | |||
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147 | (8) | |||
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155 | (1) | |||
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156 | (2) | |||
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158 | (3) | |||
PART THREE Portfolio Selection | 161 | (52) | |||
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163 | (18) | |||
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163 | (4) | |||
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167 | (11) | |||
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178 | (3) | |||
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181 | (18) | |||
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181 | (4) | |||
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185 | (9) | |||
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194 | (5) | |||
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199 | (14) | |||
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200 | (3) | |||
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203 | (3) | |||
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206 | (4) | |||
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210 | (3) | |||
PART FOUR Risk Management | 213 | (80) | |||
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215 | (38) | |||
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216 | (2) | |||
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218 | (4) | |||
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222 | (6) | |||
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228 | (2) | |||
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230 | (9) | |||
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239 | (7) | |||
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246 | (3) | |||
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249 | (4) | |||
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253 | (30) | |||
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253 | (1) | |||
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254 | (2) | |||
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256 | (7) | |||
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263 | (4) | |||
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267 | (5) | |||
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272 | (4) | |||
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276 | (2) | |||
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278 | (5) | |||
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283 | (10) | |||
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283 | (3) | |||
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286 | (1) | |||
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287 | (1) | |||
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288 | (3) | |||
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291 | (2) | |||
PART FIVE Option Pricing | 293 | (60) | |||
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295 | (24) | |||
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295 | (2) | |||
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297 | (1) | |||
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298 | (2) | |||
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300 | (12) | |||
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312 | (4) | |||
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316 | (3) | |||
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319 | (18) | |||
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319 | (3) | |||
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322 | (1) | |||
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323 | (2) | |||
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325 | (6) | |||
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331 | (1) | |||
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331 | (3) | |||
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334 | (2) | |||
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336 | (1) | |||
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337 | (16) | |||
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337 | (2) | |||
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339 | (6) | |||
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345 | (4) | |||
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349 | (4) | |||
INDEX | 353 |
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