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

紀錄類型:	書目-語言資料,印刷品 : 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 : : 2018.,
面頁冊數:	xxiii, 448 p. :digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Martingales (Mathematics) -
電子資源:	http://dx.doi.org/10.1007/978-3-319-77821-1
ISBN:	9783319778211

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. - Cham :Springer International Publishing :2018. - xxiii, 448 p. :digital ;24 cm. - Springer finance,1616-0533. - Springer finance..

Preface -- Contents -- Part I Arbitrage Pricing Theory -- Part II Portfolio Optimization. - Part III Equilibrium. - Part IV Trading Constraints. - References -- Index.

Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions) Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD-level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds.

ISBN: 9783319778211

Standard No.: 10.1007/978-3-319-77821-1doiSubjects--Topical Terms:

672579
Martingales (Mathematics)

LC Class. No.: QA274.5 / .J377 2018

Dewey Class. No.: 519.236

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