Continuous-Time Asset Pricing Theory
A Martingale-Based Approach
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Beschreibung
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.
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.
Fills the gap in PhD–level books on asset pricing theory created in between those books aimed at economics & business students and those written in mathematical finance for math students Uses the simplest and most general approach to asset pricing theory: the martingale approach Zooms in on asset price bubbles in all results Sequentially studies arbitrage pricing theory, derivatives pricing, portfolio theory, and equilibrium pricing
Autor*in
Robert A. Jarrow
Themen in »Continuous-Time Asset Pricing Theory«
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 quantitative finance mathematical finance
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“This book is very good reading for a Ph. D. student that wants to find in a single reference so much material and treated with a clarity that comes from the fact that the author has been a major contributor to most of these research topics over the last decades.” (Gianluca Cassese, zbMATH 1432.91002, 2020)
“This book is a splendid compilation of the main research recently done in the fields of arbitrage pricing, portfolio theory and market efficiency. … This book is a reference for those researchers interested in asset pricing by using stochastic calculus.” (Salvador C. Rambaud, Mathematical Reviews, July, 2019)
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