Continuous-Time Asset Pricing Theory - A Martingale-Based Approach (Hardcover, 2nd ed. 2021)

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.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	Springer Finance
Release date:	July 2021
First published:	2021
Authors:	Robert A. Jarrow
Dimensions:	235 x 155 x 33mm (L x W x T)
Format:	Hardcover
Pages:	456
Edition:	2nd ed. 2021
ISBN-13:	978-3-03-074409-0
Categories:	Books > Business & Economics > Economics > Macroeconomics > General Books > Business & Economics > Finance & accounting > Finance > Corporate finance Books > Science & Mathematics > Mathematics > Applied mathematics > General Books > Money & Finance > Corporate finance
LSN:	3-03-074409-4
Barcode:	9783030744090

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