000			02130nam a22002177a 4500
999			_c2871 _d2871
005			20220715162803.0
008			220715b ||||| |||| 00| 0 eng d
020			_a9783030744090
082			_a519.236 _bJAR
100			_aJarrow, Robert A. _96748
245			_aContinuous-time asset pricing theory: a martingale-based approach
260			_bSpringer _aSwitzerland _c2021
300			_axxiii, 456 p.
365			_aEURO _b59.99
520			_aAbout this book 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.
650			_aMathematical optimization _9647
650			_aEconomics, Mathematical _91941
650			_aMathematics _91140
650			_aDistribution (Probability theory) _93924
942			_2ddc _cBK