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

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Jann Holl,R Zippelius,J. BrammsenThis 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. ., and it is based on Jarrow (Quart J Finance8:33, 2017).

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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 Chap. ., the presentation will be brief. In addition, as an application of the BSM model, Merton’s structural models for credit risk is included herein.

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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 (. (Springer, Berlin, 2009)) to discontinuous risky asset price processes.

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