Springer Finance Textbooks

Continuous-Time Asset Pricing Theory

A Martingale-Based Approach

Authors: Jarrow, Robert A.

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  • 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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書籍の購入

イーブック ¥6,176
¥7,524 (listprice)
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
有効期限: June 30, 2019
  • ISBN 978-3-319-77821-1
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: PDF, EPUB
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
  • ご購入後、すぐにダウンロードしていただけます。
ハードカバー ¥7,721
¥9,406 (listprice)
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
有効期限: June 30, 2019
  • ISBN 978-3-319-77820-4
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Usually dispatched within 3 to 5 business days.
ソフトカバー ¥7,721
¥9,406 (listprice)
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
有効期限: June 30, 2019
  • 予定日: June 26, 2019
  • ISBN 978-3-030-08549-0
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
この教本について

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. 


著者について

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)

Table of contents (23 chapters)

書籍の購入

イーブック ¥6,176
¥7,524 (listprice)
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
有効期限: June 30, 2019
  • ISBN 978-3-319-77821-1
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: PDF, EPUB
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
  • ご購入後、すぐにダウンロードしていただけます。
ハードカバー ¥7,721
¥9,406 (listprice)
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
有効期限: June 30, 2019
  • ISBN 978-3-319-77820-4
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Usually dispatched within 3 to 5 business days.
ソフトカバー ¥7,721
¥9,406 (listprice)
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
有効期限: June 30, 2019
  • 予定日: June 26, 2019
  • ISBN 978-3-030-08549-0
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
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書誌情報

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
イーブック ISBN
978-3-319-77821-1
DOI
10.1007/978-3-319-77821-1
ハードカバー ISBN
978-3-319-77820-4
ソフトカバー ISBN
978-3-030-08549-0
Edition Number
1
Number of Pages
XXIII, 448
Topics