Continuous-Time Asset Pricing Theory av Robert A. Jarrow

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<p>Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features ?new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. </p><p>Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset pri