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Continuous-time asset pricing theory...

Jarrow, Robert A.

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

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Continuous-time asset pricing theory/ by Robert A. Jarrow.
其他題名:	a Martingale-based approach /
作者:	Jarrow, Robert A.
出版者:	Cham :Springer International Publishing : : 2021.,
面頁冊數:	xxiii, 456 p. :ill., digital ;24 cm.
內容註:	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
標題:	Martingales (Mathematics) -
電子資源:	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

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