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Continuous-Time Asset Pricing Theory

A Martingale-Based Approach

  • Robert A. Jarrow

Part of the Springer Finance book series (FINANCE)

Also part of the Springer Finance Textbooks book sub series (SFTEXT)

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. Arbitrage Pricing Theory

    1. Front Matter
      Pages 1-2
    2. Robert A. Jarrow
      Pages 3-17
    3. Robert A. Jarrow
      Pages 19-68
    4. Robert A. Jarrow
      Pages 69-78
    5. Robert A. Jarrow
      Pages 97-103
    6. Robert A. Jarrow
      Pages 105-131
    7. Robert A. Jarrow
      Pages 133-149
    8. Robert A. Jarrow
      Pages 151-156
  3. Portfolio Optimization

    1. Front Matter
      Pages 151-151
    2. Robert A. Jarrow
      Pages 159-180
    3. Robert A. Jarrow
      Pages 181-201
    4. Robert A. Jarrow
      Pages 203-233
  4. Equilibrium

    1. Front Matter
      Pages 261-262
    2. Robert A. Jarrow
      Pages 263-273
    3. Robert A. Jarrow
      Pages 275-306
    4. Robert A. Jarrow
      Pages 307-318
    5. Robert A. Jarrow
      Pages 319-330
    6. Robert A. Jarrow
      Pages 331-371
  5. Trading Constraints

    1. Front Matter
      Pages 373-374
    2. Robert A. Jarrow
      Pages 375-388
    3. Robert A. Jarrow
      Pages 389-392
    4. Robert A. Jarrow
      Pages 393-397
    5. Robert A. Jarrow
      Pages 399-407
    6. Robert A. Jarrow
      Pages 409-423
    7. Robert A. Jarrow
      Pages 425-434
  6. Back Matter
    Pages 435-448

About this book

Introduction

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. 


Keywords

asset pricing theory continuous-time asset pricing equilibrium pricing cash flows portfolio optimization arbitrage pricing Martingale measures derivatives pricing portfolio theory 60-XX; 49-XX, 90BXX

Authors and affiliations

  • Robert A. Jarrow
    • 1
  1. 1.Samuel Curtis Johnson Graduate SchoolCornell UniversityIthacaUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-77821-1
  • Copyright Information Springer International Publishing AG, part of Springer Nature 2018
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-77820-4
  • Online ISBN 978-3-319-77821-1
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site
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