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Über dieses Buch

Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD–level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the Black–Scholes–Merton, the Heath–Jarrow–Morton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds.

Inhaltsverzeichnis

Frontmatter

Arbitrage Pricing Theory

Frontmatter

2018 | OriginalPaper | Buchkapitel

Chapter 1. Stochastic Processes

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 2. The Fundamental Theorems

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 3. Asset Price Bubbles

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 4. Spanning Portfolios, Multiple-Factor Beta Models, and Systematic Risk

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 5. The Black–Scholes–Merton Model

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 6. The Heath–Jarrow–Morton Model

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 7. Reduced Form Credit Risk Models

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 8. Incomplete Markets

Robert A. Jarrow

Portfolio Optimization

Frontmatter

2018 | OriginalPaper | Buchkapitel

Chapter 9. Utility Functions

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 10. Complete Markets (Utility over Terminal Wealth)

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 11. Incomplete Markets (Utility over Terminal Wealth)

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 12. Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth)

Robert A. Jarrow

Equilibrium

Frontmatter

2018 | OriginalPaper | Buchkapitel

Chapter 13. Equilibrium

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 14. A Representative Trader Economy

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 15. Characterizing the Equilibrium

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 16. Market Informational Efficiency

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 17. Epilogue (The Static CAPM)

Robert A. Jarrow

Trading Constraints

Frontmatter

2018 | OriginalPaper | Buchkapitel

Chapter 18. The Trading Constrained Market

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 19. Arbitrage Pricing Theory

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 20. The Auxiliary Markets

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 21. Super- and Sub-replication

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 22. Portfolio Optimization

Robert A. Jarrow

2018 | OriginalPaper | Buchkapitel

Chapter 23. Equilibrium

Robert A. Jarrow

Backmatter

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