rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Continuous-Time Asset Pricing Theory
    sub title: A Martingale-Based Approach
  name:
    name part: Jarrow, Robert A.
    role:
      role term: creator
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2018
    edition: 1st ed. 2018.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XXIII, 448 p. online resource.
  abstract: 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. .
  table of contents: Preface -- Contents -- Part I Arbitrage Pricing Theory -- Part II Portfolio Optimization. - Part III Equilibrium. - Part IV Trading Constraints. - References -- Index.
  note: by Robert A. Jarrow.
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Mathematical optimization
  subject:
    topic: Finance-Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Optimization
  subject:
    topic: Financial Mathematics
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Springer Finance Textbooks
  identifier: 9783319778211
  identifier: https://doi.org/10.1007/978-3-319-77821-1
  record info:
    record creation date: 180604
    record change date: 20191024111427.0
    record identifier: 978-3-319-77821-1