Description: Continuous-Time Asset Pricing Theory by Robert A. Jarrow 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). FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Back Cover 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. Author Biography Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornells 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 Magazines 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 Magazines 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 Preface.- Contents.- Part I Arbitrage Pricing Theory.- Part II Portfolio Optimization. - Part III Equilibrium. - Part IV Trading Constraints. - References.- Index. Review "This book is very good reading for a Ph. D. student that wants to find in a single reference so much material and treated with a clarity that comes from the fact that the author has been a major contributor to most of these research topics over the last decades." (Gianluca Cassese, zbMATH 1432.91002, 2020)"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) Long Description 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. Review Quote "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) Feature 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 Details ISBN303008549X Language English Year 2019 ISBN-10 303008549X ISBN-13 9783030085490 Format Paperback Author Robert A. Jarrow Subtitle A Martingale-Based Approach Place of Publication Cham Country of Publication Switzerland Illustrations XXIII, 448 p. Pages 448 Imprint Springer Nature Switzerland AG Publication Date 2019-01-30 Short Title Continuous-Time Asset Pricing Theory UK Release Date 2019-01-30 Publisher Springer Nature Switzerland AG Edition Description Softcover reprint of the original 1st ed. 2018 Alternative 9783319778204 DEWEY 519.236 Audience Professional & Vocational Series Springer Finance We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:130598438;
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ISBN-13: 9783030085490
Book Title: Continuous-Time Asset Pricing Theory
Item Height: 235 mm
Item Width: 155 mm
Author: Robert A. Jarrow
Publication Name: Continuous-Time Asset Pricing Theory: a Martingale-Based Approach
Format: Paperback
Language: English
Publisher: Springer Nature Switzerland Ag
Subject: Mathematics
Publication Year: 2019
Type: Textbook
Item Weight: 718 g
Number of Pages: 448 Pages
