Titlebook: Continuous-Time Asset Pricing Theory; A Martingale-Based A Robert A. Jarrow Textbook 2021Latest edition Springer Nature Switzerland AG 2021

Entreaty

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急性

Continuous-Time Asset Pricing Theory978-3-030-74410-6Series ISSN 1616-0533 Series E-ISSN 2195-0687

忍受

Fundamentale verteilte Algorithmen, 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. The material in this chapter is based on the papers by Jarrow, Protter, and Shimbo.

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A Representative Trader Economyypothetical 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, which are constructed by aggregating the beliefs, utility functions, and endowments of all the traders in the economy.

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連詞

https://doi.org/10.1007/978-3-322-94014-8ive markets, and assuming a complete market, this is the most general arbitrage-free pricing model possible with a stochastic term structure of interest rates. This model, with appropriate modifications, can also be used to price derivatives whose values depend on a term structure of underlying asse