Robert A. Jarrow – författare

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the occasion of his 60th birthday.

Specific topics covered include:

* Theory and application of the Variance-Gamma process

* Lévy process driven fixed-income and credit-risk models, including CDO pricing

* Numerical PDE and Monte Carlo methods

* Asset pricing and derivatives valuation and hedging

* Itô formulas for fractional Brownian motion

* Martingale characterization of asset price bubbles

* Utility valuation for credit derivatives and portfolio management

Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financialengineering.

Contributors: H. Albrecher, D. C. Brody, P. Carr, E. Eberlein, R. J. Elliott, M. C. Fu, H. Geman, M. Heidari, A. Hirsa, L. P. Hughston, R. A. Jarrow, X. Jin, W. Kluge, S. A. Ladoucette, A. Macrina, D. B. Madan, F. Milne, M. Musiela, P. Protter, W. Schoutens, E. Seneta, K. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou

Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features ​new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. 

Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles.

Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.