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Continuous-Time Asset Pricing Theory
- A Martingale-Based Approach
Engelsk Paperback
Continuous-Time Asset Pricing Theory
- A Martingale-Based Approach
Engelsk Paperback

478 kr
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Om denne bog

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 PhD-level 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 Black-Scholes-Merton, the Heath-Jarrow-Morton, 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. 


Product detaljer
Sprog:
Engelsk
Sider:
448
ISBN-13:
9783030085490
Indbinding:
Paperback
Udgave:
ISBN-10:
303008549X
Kategori:
Udg. Dato:
30 jan 2019
Længde:
0mm
Bredde:
155mm
Højde:
235mm
Forlag:
Springer Nature Switzerland AG
Oplagsdato:
30 jan 2019
Forfatter(e):
Kategori sammenhænge