Continuous-time asset pricing theory. A martingale-based approach (Q1744618)

This is a quite advanced book, written by a well known expert in the field. Differently from many other books on continuous time finance, Jarrow's book mainly aims at advanced topics which include the Fundamental Theorem of Asset Pricing (FTAP), Bubbles, Credit Risk, Portfolio Optimization, Trading Restrictions and Market Equilibrium -- a topic quite hard to find in textbooks and even in papers. Given the choice to include so many advanced topics, the balance between finance and the mathematics of stochastic processes in continuous time -- reviewed in Chapter 1 -- is hard and the reader will probably find this part insufficient to follow the remaining chapters. In my opinion this book is very good reading for a Ph. D. student that wants to find in a single reference so much material and treated with a clarity that comes from the fact that the author has been a major contributor to most of these research topics over the last decades.