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Continuous-Time Asset Pricing Theory...
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Jarrow, Robert A.
Continuous-Time Asset Pricing Theory = A Martingale-Based Approach /
Record Type:
Language materials, printed : Monograph/item
Title/Author:
Continuous-Time Asset Pricing Theory/ by Robert A. Jarrow.
Reminder of title:
A Martingale-Based Approach /
Author:
Jarrow, Robert A.
Description:
XXIII, 448 p.online resource. :
Contained By:
Springer Nature eBook
Subject:
Economics, Mathematical . -
Online resource:
https://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 Theory
A Martingale-Based Approach /[electronic resource] :by Robert A. Jarrow. - 1st ed. 2018. - XXIII, 448 p.online resource. - Springer Finance Textbooks. - Springer Finance Textbooks.
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:
1253712
Economics, Mathematical .
LC Class. No.: HB135-147
Dewey Class. No.: 519
Continuous-Time Asset Pricing Theory = A Martingale-Based Approach /
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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. .
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