Springer Finance Textbooks
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Continuous-Time Asset Pricing Theory

A Martingale-Based Approach

Authors: Jarrow, Robert A.

  • Creates the foundation for the use of machine learning and high dimensional statistics in multi-factor models.
  • Offers a deeper understanding of asset price bubbles.
  • Sequentially studies arbitrage pricing theory, derivatives pricing, portfolio theory, and equilibrium pricing.
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eBook  
  • ISBN 978-3-030-74410-6
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover ca. $74.99
price for USA in USD
  • Due: August 10, 2021
  • ISBN 978-3-030-74409-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
About this Textbook

Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features ​new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. 

Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles.

Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.

 

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. 

Buy this book

eBook  
  • ISBN 978-3-030-74410-6
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover ca. $74.99
price for USA in USD
  • Due: August 10, 2021
  • ISBN 978-3-030-74409-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
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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
2021
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-74410-6
DOI
10.1007/978-3-030-74410-6
Hardcover ISBN
978-3-030-74409-0
Edition Number
2
Number of Pages
XXIII, 440
Topics