Robert A. Jarrow

Continuous-Time Asset Pricing Theory (eBook, PDF)

A Martingale-Based Approach

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Springer International Publishing
• Seitenzahl: 456
• Erscheinungstermin: 30. Juli 2021
• Englisch
• ISBN-13: 9783030744106
• Artikelnr.: 62346698

Autorenporträt

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell's SC Johnson College of Business (Ithaca, New York) and director of research at Kamakura Corporation. He is a co-creator of the Heath-Jarrow-Morton (HJM) model, the reduced form credit risk model, and the forward price martingale measure.

Inhaltsangabe

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.

Rezensionen

"This book is very good reading for a Ph. D. student that wants to find in a single reference so much material and treated with a clarity that comes from the fact that the author has been a major contributor to most of these research topics over the last decades." (Gianluca Cassese, zbMATH 1432.91002, 2020)
"This book is a splendid compilation of the main research recently done in the fields of arbitrage pricing, portfolio theory and market efficiency. ... This book is a reference for those researchers interested in asset pricing by using stochastic calculus." (Salvador C. Rambaud, Mathematical Reviews, July, 2019)