Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhDlevel books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the BlackScholesMerton, the HeathJarrowMorton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds.

Fills the gap in PhDlevel books on asset pricing theory created in between those books aimed at economics & business students and those written in mathematical finance for math students Uses the simplest and most general approach to asset pricing theory: the martingale approach Zooms in on asset price bubbles in all results Sequentially studies arbitrage pricing theory, derivatives pricing, portfolio theory, and equilibrium pricing

Autorentext

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell's SC Johnson College of Business (Ithaca, New York) and director of research at Kamakura Corporation. He is a co-creator of the Heath-Jarrow-Morton (HJM) model, the reduced form credit risk model, and the forward price martingale measure.

Inhalt
Preface.- Contents.- Part I Arbitrage Pricing Theory.- Part II Portfolio Optimization. - Part III Equilibrium. - Part IV Trading Constraints. - References.- Index.