Description: Continuous-time Asset Pricing Theory : A Martingale-based Approach, Hardcover by Jarrow, Robert A., ISBN 3030744094, ISBN-13 9783030744090, Brand New, Free P&P in the UK
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, th 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 th’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.
Price: 52.94 GBP
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End Time: 2025-01-16T14:25:42.000Z
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Book Title: Continuous-time Asset Pricing Theory : A Martingale-based Approac
Number of Pages: 456 Pages
Publication Name: Continuous-Time Asset Pricing Theory: a Martingale-Based Approach
Language: English
Publisher: Springer Nature Switzerland A&G
Item Height: 235 mm
Subject: Economics, Finance, Mathematics
Publication Year: 2021
Type: Textbook
Item Weight: 881 g
Author: Robert A. Jarrow
Item Width: 155 mm
Series: Springer Finance Textbooks
Format: Hardcover
