Continuous-Time Asset Pricing Theory: A Martingale-Based Approach Jarrow Robert A.
Continuous-Time Asset Pricing Theory: A Martingale-Based Approach Jarrow Robert A. Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. The new…
Specifikacia Continuous-Time Asset Pricing Theory: A Martingale-Based Approach Jarrow Robert A.
Continuous-Time Asset Pricing Theory: A Martingale-Based Approach Jarrow Robert A.
Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. 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. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets.
For applications to high dimensional statistics and machine learning, new multi-factor models are