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

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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.

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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.

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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.

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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.

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