Continuous-time asset pricing theory : a Martingale-based approach / Robert A. Jarrow.
Jarrow, Robert A.
2021
QA274.5 .J37 2021
Available Online

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Title Continuous-time asset pricing theory : a Martingale-based approach / Robert A. Jarrow.
Author Jarrow, Robert A.
Edition Second edition.
ISBN 9783030744106 (electronic bk.)
3030744108 (electronic bk.)
9783030744090
DOI https://doi.org/10.1007/978-3-030-74410-6
Published Cham : Springer, 2021.
Language English
Description 1 online resource (467 pages)
Other Standard Identifiers 10.1007/978-3-030-74410-6 doi
Call Number QA274.5 .J37 2021
Dewey Decimal Classification 658.15
Summary 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.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed August 11, 2021).
Series Springer finance.
Available in Other Form Continuous-Time Asset Pricing Theory.
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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.

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