Description 
1 online resource (467 pages) 
Series 
Springer Finance 

Springer finance

Contents 
Preface  Contents  Part I Arbitrage Pricing Theory  Chapter 1 Stochastic Processes  Chapter 2 The Fundamental Theorems  Chapter 3 Asset Price Bubbles  Chapter 4 Basis Assets, MultipleFactor Beta Models, and Systematic Risk  Chapter 5 The Black Scholes Merton Model  Chapter 6 The Heath Jarrow Morton Model  Chapter 7 Reduced Form Credit Risk Models  Chapter 8 Incomplete Markets  Part II Portfolio Optimization  Chapter 9 Utility Functions  Chapter 10 Complete Markets (Utility over Terminal Wealth)  Chapter 11 Incomplete Markets (Utility over Terminal Wealth)  Chapter 12 Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth)  Part III Equilibrium  Chapter 13 Equilibrium  Chapter 14 A Representative Trader Economy  Chapter 15 Characterizing the Equilibrium  Chapter 16 Market Informational Efficiency  Chapter 17 Epilogue (The Fundamental Theorems and the CAPM)  Part IV Trading Constraints  Chapter 18 The Trading Constrained Market  Chapter 19 Arbitrage Pricing Theory  Chapter 20 The Auxiliary Markets  Chapter 21 Super and SubReplication  Chapter 22 Portfolio Optimization  Chapter 23 Equilibrium  References  Index 
Summary 
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 new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiplefactor 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 multifactor 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, ContinuousTime 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 
Notes 
Online resource; title from PDF title page (SpringerLink, viewed August 11, 2021) 
Subject 
Martingales (Mathematics)


Prices.


Economics, Mathematical.


Mathematical optimization.


Probabilities.


Probability


prices.


probability.


Economics, Mathematical.


Martingales (Mathematics)


Mathematical optimization.


Prices.


Probabilities.

Form 
Electronic book

ISBN 
9783030744106 

3030744108 
