Continuous-Time Asset Pricing Theory: A Martingale-Based Approach

Name: Continuous-Time Asset Pricing Theory: A Martingale-Based Approach
Brand: Springer
SKU: 9783030744090
Price: 5876.0 INR
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by Robert A. Jarrow

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ISBN13: 9783030744090
Binding: Hardcover
Subject: N/A
Publisher: Springer
Publisher Imprint: Springer
Publication Date: July 31, 2021
Pages: 440
Original Price: EUR 79.99
Language: English
Edition: 2021
Item Weight: 849 grams
BISAC Subject(s): Corporate Finance / General, Applied, and Economics / Macroeconomics

About The Book

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.

About The Author

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.

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