Continuous-Time Asset Pricing Theory

A Martingale-Based Approach

By: Robert A. Jarrow

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Hardcover | 31 July 2021 | Edition Number 2

At a Glance

Hardcover
484 Pages

Edition Type
Revised

Dimensions(cm)
16.2 x 24.3 x 3.3

Hardcover

$109.00

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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 ânew 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.

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