CONTINUOUS-TIME ASSET PRICING THEORY a m
β ROBERT A. JARROW
π Library
π
2021
π SPRINGER NATURE
π English
β¦ LIBER β¦
π
Continuous-Time Asset Pricing Theory: A Martingale-Based Approach
β Scribed by Robert A. Jarrow
- Publisher
- Springer
- Year
- 2018
- Tongue
- English
- Leaves
- 457
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
β¦ 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 PhDβlevel 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 BlackβScholesβMerton, the HeathβJarrowβMorton, 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.
π SIMILAR VOLUMES
Continuous-Time Asset Pricing Theory
β Robert A. Jarrow
π Library
π
2018
π Springer International Publishing
π English
<p><p></p><p></p><p>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, ref
Asset Pricing: -Discrete Time Approach-
β Takeaki Kariya, Regina Y. Liu (auth.)
π Library
π
2003
π Springer US
π English
<p>1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, w
Asset pricing in discrete time: a comple
β Ser-Huang Poon, Richard C. Stapleton
π Library
π
2005
π Oxford University Press, USA
π English
Financial Informatics: An Information-Ba
β Dorje Brody, Lane Hughston, Andrea Macrina
π Library
π
2022
π World Scientific Publishing
π English
<p><span>The Brody-Hughston-Macrina approach to information-based asset pricing introduces a new way of looking at the mechanisms determining price movements in financial markets. The resulting theory of financial informatics is applicable across a wide range of asset classes and is distinguished by
A Behavioral Approach to Asset Pricing
β Hersh Shefrin
π Library
π
2008
π Academic Press
π English
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. In this 2nd Edition Hersh Shefrin examines the reigning assumptions of asset pricing the