Continuous-time asset pricing theory. A martingale-based approach

DOI10.1007/978-3-319-77821-1zbMath1432.91002OpenAlexW2806893182MaRDI QIDQ1744618

Robert A. Jarrow

Publication date: 23 April 2018

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://rd.springer.com/content/pdf/10.1007%2F978-3-319-77821-1.pdf

zbMATH Keywords

portfolio optimizationcredit riskasset pricing theorycontinuous-time martingalederivatives pricing and hedging

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Credit risk (91G40)

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