Continuous Time Asset Pricing Theory: A Martingale-Based Approach

By:

Jarrow, Robert A

Material type: Text

TextSeries: Springer finance, 1616-0533Publication details: Springer 2018 New YorkDescription: 448pISBN:

9783319778204

Subject(s):

Mathematics - Probability & Statistics - General

DDC classification:

519.236 JAR

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Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	519.236 JAR (Browse shelf(Opens below))	Available		M0036387

Total holds: 0

Part I Arbitrage Pricing Theory.
1. Stochastic Processes
2. The Fundamental Theorems
3. Asset Price Bubbles
4. Spanning Portfolios, Multiple-Factor Beta Models, and Systematic Risk
5. The Heath–Jarrow–Morton Model
6. Reduced Form Credit Risk Models
7. Incomplete Markets
8. Utility Functions
Part II Portfolio Optimization.
9. Complete Markets (Utility over Terminal Wealt
10. Incomplete Markets (Utility over Terminal Wealth)
11. Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth)
12. Equilibrium
Part III Equilibrium.
13. A Representative Trader Economy
14. Characterizing the Equilibrium
15. Market Informational Efficiency
16. Epilogue (The Static CAPM)
17. The Trading Constrained Market
Part IV Trading Constraints.
18. Arbitrage Pricing Theory
19. The Auxiliary Markets
20. Super- and Sub-replicatio
21. Portfolio Optimization
22. Equilibrium

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