Springer Finance Textbooks

Continuous-Time Asset Pricing Theory

A Martingale-Based Approach

Authors: Jarrow, Robert A.

  • 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 
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eBook 55,92 €
price for Spain (gross)
  • ISBN 978-3-319-77821-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 69,67 €
price for Spain (gross)
  • ISBN 978-3-319-77820-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this Textbook

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. 


About the authors

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. He is 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. 

Table of contents (23 chapters)

  • Stochastic Processes

    Jarrow, Robert A.

    Pages 3-17

    Preview Buy Chapter 30,19 €
  • The Fundamental Theorems

    Jarrow, Robert A.

    Pages 19-68

    Preview Buy Chapter 30,19 €
  • Asset Price Bubbles

    Jarrow, Robert A.

    Pages 69-78

    Preview Buy Chapter 30,19 €
  • Spanning Portfolios, Multiple-Factor Beta Models, and Systematic Risk

    Jarrow, Robert A.

    Pages 79-96

  • The Black–Scholes–Merton Model

    Jarrow, Robert A.

    Pages 97-103

    Preview Buy Chapter 30,19 €

Buy this book

eBook 55,92 €
price for Spain (gross)
  • ISBN 978-3-319-77821-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 69,67 €
price for Spain (gross)
  • ISBN 978-3-319-77820-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Continuous-Time Asset Pricing Theory
Book Subtitle
A Martingale-Based Approach
Authors
Series Title
Springer Finance Textbooks
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing AG, part of Springer Nature
eBook ISBN
978-3-319-77821-1
DOI
10.1007/978-3-319-77821-1
Hardcover ISBN
978-3-319-77820-4
Edition Number
1
Number of Pages
XXIII, 448
Topics