Titlebook: Continuous-Time Asset Pricing Theory; A Martingale-Based A Robert A. Jarrow Textbook Jun 20181st edition Springer International Publishing

Indigence

沐浴

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.

GROSS

叢林

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.

Filibuster

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.

happiness

不真

文藝

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.

staging

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.

紡織品

Stochastic ProcessesThis chapter presents the basics of stochastic processes needed to study asset pricing theory.