Authors:
- Creates the foundation for the use of machine learning and high dimensional statistics in multi-factor models
- Offers a deeper understanding of asset price bubbles
- Sequentially studies arbitrage pricing theory, derivatives pricing, portfolio theory, and equilibrium pricing
Part of the book series: Springer Finance (FINANCE)
Part of the book sub series: Springer Finance Textbooks (SFTEXT)
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Table of contents (24 chapters)
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Front Matter
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Equilibrium
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Front Matter
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About this 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.
Authors and Affiliations
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Samuel Curtis Johnson Graduate School, Cornell University, Ithaca, USA
Robert A. Jarrow
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.
Bibliographic Information
Book Title: Continuous-Time Asset Pricing Theory
Book Subtitle: A Martingale-Based Approach
Authors: Robert A. Jarrow
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-030-74410-6
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer Nature Switzerland AG 2021
Hardcover ISBN: 978-3-030-74409-0Published: 31 July 2021
eBook ISBN: 978-3-030-74410-6Published: 30 July 2021
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 2
Number of Pages: XXIII, 456
Number of Illustrations: 10 b/w illustrations
Topics: Business Finance, Applications of Mathematics, Macroeconomics/Monetary Economics//Financial Economics