Authors:
- 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
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 (23 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
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.
Reviews
“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)
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. These are the standard models used for pricing and hedging derivatives in major financial institutions. He was the first to distinguish forward/futures prices and to study market manipulation using arbitrage-pricing theory. He has received numerous awards, including the CBOE Pomerance Prize for Options Research, the Graham and Dodd Scrolls Award, the Bernstein Fabozzi/Jacobs Levy Award, the 1997 IAFE/SunGard Financial Engineer of the Year, and Risk Magazine’s 2009 Lifetime Achievement Award. He is on the advisory board of Mathematical Finance – a journal he co-started in 1989, and he is an associate or advisory editor for numerous other journals. Heis an IAFE senior fellow, and a member of the Fixed Income Analysts Society Hall of Fame and Risk Magazine’s 50 member Hall of Fame. He has written seven books, including the first textbooks on the Black–Scholes and the HJM models, as well as over 200 publications in leading academic journals.
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/10.1007/978-3-319-77821-1
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing AG, part of Springer Nature 2018
Softcover ISBN: 978-3-030-08549-0Published: 30 January 2019
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XXIII, 448
Topics: Quantitative Finance, Probability Theory and Stochastic Processes, Optimization, Financial Mathematics