東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Continuous-time asset pricing theory...

Jarrow, Robert A.

Linked to FindBook

Google Book

Amazon

博客來

Continuous-time asset pricing theory = a Martingale-based approach /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Continuous-time asset pricing theory/ by Robert A. Jarrow.
Reminder of title:	a Martingale-based approach /
Author:	Jarrow, Robert A.
Published:	Cham :Springer International Publishing : : 2021.,
Description:	xxiii, 456 p. :ill., digital ;24 cm.
[NT 15003449]:	Preface -- Contents -- Part I Arbitrage Pricing Theory -- Chapter 1 Stochastic Processes -- Chapter 2 The Fundamental Theorems -- Chapter 3 Asset Price Bubbles -- Chapter 4 Basis Assets, Multiple-Factor Beta Models, and Systematic Risk -- Chapter 5 The Black Scholes Merton Model -- Chapter 6 The Heath Jarrow Morton Model -- Chapter 7 Reduced Form Credit Risk Models -- Chapter 8 Incomplete Markets -- Part II Portfolio Optimization -- Chapter 9 Utility Functions -- Chapter 10 Complete Markets (Utility over Terminal Wealth) -- Chapter 11 Incomplete Markets (Utility over Terminal Wealth) -- Chapter 12 Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth) -- Part III Equilibrium -- Chapter 13 Equilibrium -- Chapter 14 A Representative Trader Economy -- Chapter 15 Characterizing the Equilibrium -- Chapter 16 Market Informational Efficiency -- Chapter 17 Epilogue (The Fundamental Theorems and the CAPM) -- Part IV Trading Constraints -- Chapter 18 The Trading Constrained Market -- Chapter 19 Arbitrage Pricing Theory -- Chapter 20 The Auxiliary Markets -- Chapter 21 Super- and Sub-Replication -- Chapter 22 Portfolio Optimization -- Chapter 23 Equilibrium -- References -- Index.
Contained By:	Springer Nature eBook
Subject:	Martingales (Mathematics) -
Online resource:	https://doi.org/10.1007/978-3-030-74410-6
ISBN:	9783030744106

Continuous-time asset pricing theory = a Martingale-based approach /
Jarrow, Robert A.

Continuous-time asset pricing theorya Martingale-based approach /[electronic resource] :by Robert A. Jarrow. - Second edition. - Cham :Springer International Publishing :2021. - xxiii, 456 p. :ill., digital ;24 cm. - Springer finance. - Springer finance..

Preface -- Contents -- Part I Arbitrage Pricing Theory -- Chapter 1 Stochastic Processes -- Chapter 2 The Fundamental Theorems -- Chapter 3 Asset Price Bubbles -- Chapter 4 Basis Assets, Multiple-Factor Beta Models, and Systematic Risk -- Chapter 5 The Black Scholes Merton Model -- Chapter 6 The Heath Jarrow Morton Model -- Chapter 7 Reduced Form Credit Risk Models -- Chapter 8 Incomplete Markets -- Part II Portfolio Optimization -- Chapter 9 Utility Functions -- Chapter 10 Complete Markets (Utility over Terminal Wealth) -- Chapter 11 Incomplete Markets (Utility over Terminal Wealth) -- Chapter 12 Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth) -- Part III Equilibrium -- Chapter 13 Equilibrium -- Chapter 14 A Representative Trader Economy -- Chapter 15 Characterizing the Equilibrium -- Chapter 16 Market Informational Efficiency -- Chapter 17 Epilogue (The Fundamental Theorems and the CAPM) -- Part IV Trading Constraints -- Chapter 18 The Trading Constrained Market -- Chapter 19 Arbitrage Pricing Theory -- Chapter 20 The Auxiliary Markets -- Chapter 21 Super- and Sub-Replication -- Chapter 22 Portfolio Optimization -- Chapter 23 Equilibrium -- References -- Index.

Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book's underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author's extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.

ISBN: 9783030744106

Standard No.: 10.1007/978-3-030-74410-6doiSubjects--Topical Terms:

646248
Martingales (Mathematics)

LC Class. No.: QA274.5 / .J377 2021

Dewey Class. No.: 658.15

Continuous-time asset pricing theory = a Martingale-based approach /
LDR:03733nmm a2200349 a 4500 001 2242171
003 DE-He213
005 20210730111808.0
006 m d
007 cr nn 008maaau
008 211207s2021 sz s 0 eng d
020 $a 9783030744106 $q (electronic bk.)
020 $a 9783030744090 $q (paper)
024 7 $a 10.1007/978-3-030-74410-6 $2 doi
035 $a 978-3-030-74410-6
040 $a GP $c GP
041 0 $a eng
050 4 $a QA274.5 $b .J377 2021
072 7 $a KFFH $2 bicssc
072 7 $a BUS017000 $2 bisacsh
072 7 $a KFFH $2 thema
082 0 4 $a 658.15 $2 23
090 $a QA274.5 $b .J37 2021
100 1 $a Jarrow, Robert A. $3 670720
245 1 0 $a Continuous-time asset pricing theory $h [electronic resource] : $b a Martingale-based approach / $c by Robert A. Jarrow.
250 $a Second edition.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2021.
300 $a xxiii, 456 p. : $b ill., digital ; $c 24 cm.
490 1 $a Springer finance
505 0 $a Preface -- Contents -- Part I Arbitrage Pricing Theory -- Chapter 1 Stochastic Processes -- Chapter 2 The Fundamental Theorems -- Chapter 3 Asset Price Bubbles -- Chapter 4 Basis Assets, Multiple-Factor Beta Models, and Systematic Risk -- Chapter 5 The Black Scholes Merton Model -- Chapter 6 The Heath Jarrow Morton Model -- Chapter 7 Reduced Form Credit Risk Models -- Chapter 8 Incomplete Markets -- Part II Portfolio Optimization -- Chapter 9 Utility Functions -- Chapter 10 Complete Markets (Utility over Terminal Wealth) -- Chapter 11 Incomplete Markets (Utility over Terminal Wealth) -- Chapter 12 Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth) -- Part III Equilibrium -- Chapter 13 Equilibrium -- Chapter 14 A Representative Trader Economy -- Chapter 15 Characterizing the Equilibrium -- Chapter 16 Market Informational Efficiency -- Chapter 17 Epilogue (The Fundamental Theorems and the CAPM) -- Part IV Trading Constraints -- Chapter 18 The Trading Constrained Market -- Chapter 19 Arbitrage Pricing Theory -- Chapter 20 The Auxiliary Markets -- Chapter 21 Super- and Sub-Replication -- Chapter 22 Portfolio Optimization -- Chapter 23 Equilibrium -- References -- Index.
520 $a Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book's underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author's extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.
650 0 $a Martingales (Mathematics) $3 646248
650 0 $a Prices. $3 652651
650 0 $a Economics, Mathematical. $3 647770
650 0 $a Mathematical optimization. $3 517763
650 0 $a Probabilities. $3 518889
650 1 4 $a Business Finance. $3 2162280
650 2 4 $a Applications of Mathematics. $3 890893
650 2 4 $a Macroeconomics/Monetary Economics//Financial Economics. $3 2162289
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer Nature eBook
830 0 $a Springer finance. $3 1620796
856 4 0 $u https://doi.org/10.1007/978-3-030-74410-6
950 $a Economics and Finance (SpringerNature-41170)