Continuous-Time Asset Pricing Theory: A Martingale-Based Approach

Asset pricing theory provides insights into market phenomena like stock market bubbles. This textbook, now revised and updated, guides readers through the theory and its applications, featuring new results on state-dependent preferences, market efficiency, and multiple-factor models. It presents advanced techniques of mathematical finance in a business and economics context, covering topics such as derivatives pricing, hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. The book integrates suicide trading strategies into understanding asset price bubbles, enriching the presentation and reinforcing the book's theme of economic bubbles. Written by a leading expert in risk management, it is particularly well-suited for graduate students in business and economics with a strong mathematical background.

Format: Hardback
Length: 456 pages
Publication date: 31 July 2021
Publisher: Springer Nature Switzerland AG

Asset pricing theory provides profound insights into essential market phenomena, including stock market bubbles. In this newly revised and updated edition, this textbook serves as a comprehensive guide for readers to understand and apply this theory to various markets. The new edition introduces exciting findings on state-dependent preferences, characterizes market efficiency, and presents a more general framework for multiple-factor models, all while relying on the assumptions of no arbitrage and no dominance.

Employing an innovative approach rooted in martingales, the book delves into advanced techniques of mathematical finance within a business and economics context. It encompasses a wide range of relevant topics, including derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. Furthermore, for applications in high-dimensional statistics and machine learning, new multi-factor models are provided.

This new edition enhances the overall presentation by incorporating suicide trading strategies, further reinforcing the book's central theme of economic bubbles. Authored by a renowned expert in risk management, Continuous-Time Asset Pricing Theory emerges as the first textbook on asset pricing theory to adopt a martingale approach. Drawing from the author's extensive teaching and research expertise in the field, it is particularly well-suited for graduate students in business and economics with a solid mathematical foundation.

Weight: 874g
Dimension: 162 x 243 x 33 (mm)
ISBN-13: 9783030744090
Edition number: 2nd ed. 2021