Continuous-Time Asset Pricing Theory

✍ Scribed by Robert A. Jarrow

Publisher: Springer International Publishing
Year: 2018
Tongue: English
Leaves: 457
Series: Springer Finance
Edition: 1st ed.
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Table of Contents

Front Matter ....Pages i-xxiii
Front Matter ....Pages 1-2
Stochastic Processes (Robert A. Jarrow)....Pages 3-17
The Fundamental Theorems (Robert A. Jarrow)....Pages 19-68
Asset Price Bubbles (Robert A. Jarrow)....Pages 69-78
Spanning Portfolios, Multiple-Factor Beta Models, and Systematic Risk (Robert A. Jarrow)....Pages 79-96
The Black–Scholes–Merton Model (Robert A. Jarrow)....Pages 97-103
The Heath–Jarrow–Morton Model (Robert A. Jarrow)....Pages 105-131
Reduced Form Credit Risk Models (Robert A. Jarrow)....Pages 133-149
Incomplete Markets (Robert A. Jarrow)....Pages 151-156
Front Matter ....Pages 151-151
Utility Functions (Robert A. Jarrow)....Pages 159-180
Complete Markets (Utility over Terminal Wealth) (Robert A. Jarrow)....Pages 181-201
Incomplete Markets (Utility over Terminal Wealth) (Robert A. Jarrow)....Pages 203-233
Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth) (Robert A. Jarrow)....Pages 235-260
Front Matter ....Pages 261-262
Equilibrium (Robert A. Jarrow)....Pages 263-273
A Representative Trader Economy (Robert A. Jarrow)....Pages 275-306
Characterizing the Equilibrium (Robert A. Jarrow)....Pages 307-318
Market Informational Efficiency (Robert A. Jarrow)....Pages 319-330
Epilogue (The Static CAPM) (Robert A. Jarrow)....Pages 331-371
Front Matter ....Pages 373-374
The Trading Constrained Market (Robert A. Jarrow)....Pages 375-388
Arbitrage Pricing Theory (Robert A. Jarrow)....Pages 389-392
The Auxiliary Markets (Robert A. Jarrow)....Pages 393-397
Super- and Sub-replication (Robert A. Jarrow)....Pages 399-407
Portfolio Optimization (Robert A. Jarrow)....Pages 409-423
Equilibrium (Robert A. Jarrow)....Pages 425-434
Back Matter ....Pages 435-448

✦ Subjects

Mathematics; Quantitative Finance; Probability Theory and Stochastic Processes; Optimization; Financial Mathematics

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