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001438758 001__ 1438758
001438758 003__ OCoLC
001438758 005__ 20230309004352.0
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001438758 008__ 210807s2021\\\\sz\\\\\\ob\\\\000\0\eng\d
001438758 020__ $$a9783030744106$$q(electronic bk.)
001438758 020__ $$a3030744108$$q(electronic bk.)
001438758 020__ $$z9783030744090
001438758 0247_ $$a10.1007/978-3-030-74410-6$$2doi
001438758 035__ $$aSP(OCoLC)1263025775
001438758 040__ $$aEBLCP$$beng$$erda$$epn$$cEBLCP$$dGW5XE$$dYDX$$dOCLCO$$dGZM$$dOCLCF$$dOCLCQ$$dOCLCO$$dOCLCQ
001438758 049__ $$aISEA
001438758 050_4 $$aQA274.5$$b.J37 2021
001438758 08204 $$a658.15$$223
001438758 1001_ $$aJarrow, Robert A.
001438758 24510 $$aContinuous-time asset pricing theory :$$ba Martingale-based approach /$$cRobert A. Jarrow.
001438758 250__ $$aSecond edition.
001438758 264_1 $$aCham :$$bSpringer,$$c2021.
001438758 300__ $$a1 online resource (467 pages)
001438758 336__ $$atext$$btxt$$2rdacontent
001438758 337__ $$acomputer$$bc$$2rdamedia
001438758 338__ $$aonline resource$$bcr$$2rdacarrier
001438758 4901_ $$aSpringer Finance
001438758 5050_ $$aPreface -- 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.
001438758 506__ $$aAccess limited to authorized users.
001438758 520__ $$aAsset 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.
001438758 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed August 11, 2021).
001438758 650_0 $$aMartingales (Mathematics)
001438758 650_0 $$aPrices.
001438758 650_0 $$aEconomics, Mathematical.
001438758 650_0 $$aMathematical optimization.
001438758 650_0 $$aProbabilities.
001438758 650_6 $$aMartingales (Mathématiques)
001438758 650_6 $$aPrix.
001438758 650_6 $$aOptimisation mathématique.
001438758 650_6 $$aProbabilités.
001438758 655_0 $$aElectronic books.
001438758 77608 $$iPrint version:$$aJarrow, Robert A.$$tContinuous-Time Asset Pricing Theory.$$dCham : Springer International Publishing AG, ©2021$$z9783030744090
001438758 830_0 $$aSpringer finance.
001438758 852__ $$bebk
001438758 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-74410-6$$zOnline Access$$91397441.1
001438758 909CO $$ooai:library.usi.edu:1438758$$pGLOBAL_SET
001438758 980__ $$aBIB
001438758 980__ $$aEBOOK
001438758 982__ $$aEbook
001438758 983__ $$aOnline
001438758 994__ $$a92$$bISE