標(biāo)題: Titlebook: Continuous-Time Asset Pricing Theory; A Martingale-Based A Robert A. Jarrow Textbook Jun 20181st edition Springer International Publishing [打印本頁] 作者: 傳家寶 時(shí)間: 2025-3-21 16:46
書目名稱Continuous-Time Asset Pricing Theory影響因子(影響力)
作者: 雜色 時(shí)間: 2025-3-21 21:31
Spanning Portfolios, Multiple-Factor Beta Models, and Systematic Riskh asset prices that can have discontinuous sample paths. Multiple-factor beta models are used for active portfolio management and the determination of positive alphas. These models can be derived using only the Third Fundamental Theorem 2.5 of asset pricing. A special case of this chapter is Ross’s 作者: Conducive 時(shí)間: 2025-3-22 01:44 作者: BALK 時(shí)間: 2025-3-22 05:15 作者: cloture 時(shí)間: 2025-3-22 11:31
A Representative Trader Economyader is a hypothetical individual whose trades, in a sense to be made precise below, reflect the aggregate trades of all individuals in the economy. A representative trader is defined by her beliefs, utility function, and endowments.作者: Alveoli 時(shí)間: 2025-3-22 16:36 作者: Alveoli 時(shí)間: 2025-3-22 17:46 作者: 過多 時(shí)間: 2025-3-22 22:44 作者: 繁重 時(shí)間: 2025-3-23 01:25 作者: 推延 時(shí)間: 2025-3-23 06:38
Berechnen der Koordinaten von Kleinpunkten,es only the existence, and not the characterization of an economic equilibrium. Such a rigorous definition allows new insights into the testing of an informationally efficient market, which are discussed as well.作者: 思考 時(shí)間: 2025-3-23 11:20 作者: 排斥 時(shí)間: 2025-3-23 15:36
The Heath–Jarrow–Morton Modelucture of underlying assets, examples include exotic equity derivatives where the underlyings are call and put options, commodity options where the underlyings are futures prices, and credit derivatives where the underlyings are risky zero-coupon bond prices.作者: intolerance 時(shí)間: 2025-3-23 18:45 作者: 四溢 時(shí)間: 2025-3-23 22:28 作者: debble 時(shí)間: 2025-3-24 02:54 作者: Assignment 時(shí)間: 2025-3-24 10:01 作者: Catheter 時(shí)間: 2025-3-24 14:39 作者: Pruritus 時(shí)間: 2025-3-24 18:11 作者: Carminative 時(shí)間: 2025-3-24 22:38
Utility Functionse information filtration . given above correspond to the trader’s information set. When we study the notion of an equilibrium in Part III of this book, we will introduce a distinction between the trader’s beliefs and the statistical probability measure, and a distinction between the trader’s information set and the market’s information set.作者: 暴行 時(shí)間: 2025-3-24 23:09 作者: esthetician 時(shí)間: 2025-3-25 06:21
Hans-Hermann Braess,Ulrich Seiffertader is a hypothetical individual whose trades, in a sense to be made precise below, reflect the aggregate trades of all individuals in the economy. A representative trader is defined by her beliefs, utility function, and endowments.作者: 離開真充足 時(shí)間: 2025-3-25 09:22
Robert A. JarrowFills the gap in PhD–level books on asset pricing theory created in between those books aimed at economics & business students and those written in mathematical finance for math students.Uses the simp作者: Brain-Waves 時(shí)間: 2025-3-25 13:58
Springer Financehttp://image.papertrans.cn/c/image/237036.jpg作者: 排出 時(shí)間: 2025-3-25 18:49 作者: BUMP 時(shí)間: 2025-3-25 21:14
Studien zur Kommunikationswissenschafth asset prices that can have discontinuous sample paths. Multiple-factor beta models are used for active portfolio management and the determination of positive alphas. These models can be derived using only the Third Fundamental Theorem 2.5 of asset pricing. A special case of this chapter is Ross’s 作者: Inflammation 時(shí)間: 2025-3-26 01:29 作者: 雀斑 時(shí)間: 2025-3-26 07:34 作者: 執(zhí)拗 時(shí)間: 2025-3-26 10:02 作者: GRAIN 時(shí)間: 2025-3-26 14:04
Hans-Hermann Braess,Ulrich Seiffertequilibrium supermartingale deflator as a function of the economy’s primitives: beliefs, preferences, and endowments. Indeed, using a representative trader economy equilibrium that reflects the equilibrium in the original economy, an equilibrium supermartingale deflator is characterized as a functio作者: Esalate 時(shí)間: 2025-3-26 18:01 作者: Indigence 時(shí)間: 2025-3-26 23:37 作者: 沐浴 時(shí)間: 2025-3-27 02:13
https://doi.org/10.1007/978-3-322-91569-6This chapter presents the three fundamental theorems of asset pricing. These theorems are the basis for pricing and hedging derivatives, understanding the risk return relations among assets including the notion of systematic risk, portfolio optimization, and equilibrium asset pricing.作者: GROSS 時(shí)間: 2025-3-27 07:12 作者: 叢林 時(shí)間: 2025-3-27 10:07
Weiterbildung nach dem Studium,There are two models for studying credit risk. The first is called the .. This model assumes that all of the assets of the firm trade, an unrealistic assumption. The second is called the .. This model assumes that only a subset of the firm’s liabilities trade, those that need to be priced and hedged. This is the model studied in this chapter.作者: Filibuster 時(shí)間: 2025-3-27 14:41
Vertrieb von FinanzdienstleistungenThis chapter studies the arbitrage-free pricing of derivatives in an incomplete market satisfying NFLVR. This chapter is a modest generalization of the presentation contained in Pham (Continuous time stochastic control and optimization with financial applications. Springer, Berlin, 2009) to discontinuous risky asset price processes.作者: happiness 時(shí)間: 2025-3-27 21:39 作者: 不真 時(shí)間: 2025-3-27 23:36 作者: 文藝 時(shí)間: 2025-3-28 02:28
https://doi.org/10.1007/978-3-322-92956-3This chapter studies the investor’s optimization problem in an incomplete market where the investor has a utility function defined over both terminal wealth and intermediate consumption. The presentation parallels the portfolio optimization problem studied in Chap. 11. This chapter is based on Jarrow.作者: staging 時(shí)間: 2025-3-28 08:04
https://doi.org/10.1007/978-3-322-93865-7This chapter presents the description of an economy, the definition of an economic equilibrium, and some necessary conditions implied by the existence of an economic equilibrium.作者: 紡織品 時(shí)間: 2025-3-28 10:53
Stochastic ProcessesThis chapter presents the basics of stochastic processes needed to study asset pricing theory.作者: 不法行為 時(shí)間: 2025-3-28 18:26 作者: 興奮過度 時(shí)間: 2025-3-28 21:05
The Black–Scholes–Merton ModelThis chapter presents the seminal Black–Scholes–Merton (BSM) model for pricing options. Since this chapter is a special case of the material contained in Sect. . in the fundamental theorems Chap. ., the presentation will be brief.作者: Inveterate 時(shí)間: 2025-3-28 23:22 作者: 粗糙濫制 時(shí)間: 2025-3-29 06:42
Incomplete MarketsThis chapter studies the arbitrage-free pricing of derivatives in an incomplete market satisfying NFLVR. This chapter is a modest generalization of the presentation contained in Pham (Continuous time stochastic control and optimization with financial applications. Springer, Berlin, 2009) to discontinuous risky asset price processes.作者: 前面 時(shí)間: 2025-3-29 09:01
Complete Markets (Utility over Terminal Wealth)This chapter studies an individual’s portfolio optimization problem. In this optimization, the solution differs depending on whether the market is complete or incomplete. This chapter investigates the optimization problem in a complete markets setting, and the next chapter analyzes incomplete markets.作者: 驚惶 時(shí)間: 2025-3-29 12:42 作者: 秘密會(huì)議 時(shí)間: 2025-3-29 17:53 作者: FLINT 時(shí)間: 2025-3-29 23:28 作者: 陳腐的人 時(shí)間: 2025-3-30 02:23
Asset Price Bubbles They are motivated by the First and Third Fundamental Theorems, which show that NFLVR only implies the existence of a local martingale measure and not a martingale measure. Asset price bubbles clarify the economic meaning of this difference.作者: vertebrate 時(shí)間: 2025-3-30 06:44 作者: Ordeal 時(shí)間: 2025-3-30 09:47 作者: 有危險(xiǎn) 時(shí)間: 2025-3-30 14:27
978-3-030-08549-0Springer International Publishing AG, part of Springer Nature 2018作者: Morphine 時(shí)間: 2025-3-30 17:17
Textbook Jun 20181st editionic 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.?.作者: novelty 時(shí)間: 2025-3-30 21:24 作者: 苦笑 時(shí)間: 2025-3-31 02:47
as a Model Plant for Functional Genomic Studies in C4 Cropsers. Routine transformation efficiency reaching 29% was achieved using embryogenic callus in . (accession A10.1). Alternatively, we developed a transformation method by floral dip with 0.6% efficiency. The developed protocols could be useful for genetic and genomics studies of important food-feed-fiber-fuel C4 crops.作者: 祝賀 時(shí)間: 2025-3-31 07:33
https://doi.org/10.1007/978-1-4615-1915-7e the relationship between sequential memory encoding processes and the higher brain centres in insects in order to propose a way to develop a general ’insect-brain’ control architecture to be implemented on simple robots.作者: nerve-sparing 時(shí)間: 2025-3-31 09:11 作者: Projection 時(shí)間: 2025-3-31 16:46 作者: ANA 時(shí)間: 2025-3-31 18:13
Amber J. Fletcher accurate, timely information available to mainstream media. However, similar to the dynamics at play in the north, the separate and disparate uprisings in Libya’s south demonstrated their own localized sociopolitical and tribal dynamics, very similar to those described by Wolfram Lacher in Chapter 5.作者: 箴言 時(shí)間: 2025-3-31 22:39 作者: 窗簾等 時(shí)間: 2025-4-1 04:32 作者: Itinerant 時(shí)間: 2025-4-1 07:52
Musculoskeletal Involvement in Non-Hodgkin Lymphoma,ers included in this group are NHL and HD, with a changing terminology. The old classification of primary NHL included lymphosarcoma and reticulum cell sarcoma. The cells of malignant lymphomas may exhibit various degrees of differentiation, which may be shown with immunohistochemistry (.; .).作者: Limited 時(shí)間: 2025-4-1 11:35
A Set of Topological Invariants for Graphsarticular interest in the process of aortic dissection [.]. Later in 1761 Morgagni described in detail the pathologic features of a patient with a ruptured aorta and pericardial tamponade [.]. The term “dissection” was eventually coined by Laennec in 1819 [.], and the famous clinical and pathologica
