Robert A. Jarrow – författare

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10 produkter

Modeling Fixed-Income Securities and Interest Rate Options
Second Edition
AvRobert A. Jarrow
Inbunden, Engelska, 2002
1 092 kr
Skickas inom 5-8 vardagar
This book teaches the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned "on the job," Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approach—the Heath Jarrow Morton model—under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author's pricing model is widely used in today's securities industry. In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex. Online material will be available with the text, replacing the diskette included in the first edition; lecture notes for instructors will be available on PowerPoint slides. MathWorks has provided a free online, limited version of the MATLAB's financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.
Advances in Mathematical Finance
AvMichael C. Fu,Robert A. Jarrowm. fl.
Inbunden, Engelska, 2007
1 155 kr
Skickas inom 10-15 vardagar
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 managementAdvances 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
Advances in Mathematical Finance
AvRobert J Elliott,Ju-Yi Yenm. fl.
E-bok
PDF, Engelska, 2007
1 470 kr
Läs direkt efter köp
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
Continuous-Time Asset Pricing Theory
A Martingale-Based Approach
AvRobert A. Jarrow
Häftad, Engelska, 2019
732 kr
Skickas inom 5-8 vardagar
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.
Continuous-Time Asset Pricing Theory
A Martingale-Based Approach
AvRobert A. Jarrow
Inbunden, Engelska, 2021
892 kr
Skickas inom 5-8 vardagar
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.
Continuous-Time Asset Pricing Theory
A Martingale-Based Approach
AvRobert A. Jarrow
E-bok
Engelska, 2021
1 116 kr
Läs direkt efter köp
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.
PETER CARR GEDENKSCHRIFT: RESEARCH ADVANCES IN MATHEMATICAL FINANCE
AvJarrow Robert a,Robert A Jarrowm. fl.
Inbunden, Engelska, 2023
2 703 kr
Skickas inom 3-6 vardagar
This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.
INTRODUCTION TO DERIVATIVE SECURITIES, FINANCIAL MARKETS, AND RISK MANAGEMENT, AN (THIRD EDITION)
AvRobert A Jarrow,Arkadev Chatterjea
Häftad, Engelska, 2024
1 329 kr
Skickas inom 5-8 vardagar
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
FINANCIAL DERIVATIVES PRICING: SELECTED WORKS OF ROBERT JARROW
AvRobert A Jarrow,Robert A Jarrow
Inbunden, Engelska, 2008
2 990 kr
Skickas inom 3-6 vardagar
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath–Jarrow–Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
ASSET PRICE BUBBLES: COMPETITIVE MARKET BUBBLES (IN 2 VOLUMES)
AvRobert A Jarrow
Inbunden, Engelska, 2026
2 409 kr
Kommande
Asset Price Bubbles (Volumes 1 and 2) are based on the two mechanisms used to characterize security prices in markets: no arbitrage (Volume 1) and equilibrium (Volume 2). No arbitrage is the weaker of the two assumptions, being implied by an equilibrium. Being a weaker assumption, it applies in more market settings. However, because it is a weaker assumption, less can be said about the impact of price bubbles on trader behavior and the macro-economy. No arbitrage is the mechanism emphasized in Volume 1. Issues related to trader behavior, equilibrium, and the macro-economy, including the impact of bubbles on financial stability are contained in Volume 2.

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Robert A. Jarrow – författare

Modeling Fixed-Income Securities and Interest Rate Options

Advances in Mathematical Finance

Advances in Mathematical Finance

Continuous-Time Asset Pricing Theory

Continuous-Time Asset Pricing Theory

Continuous-Time Asset Pricing Theory

PETER CARR GEDENKSCHRIFT: RESEARCH ADVANCES IN MATHEMATICAL FINANCE

INTRODUCTION TO DERIVATIVE SECURITIES, FINANCIAL MARKETS, AND RISK MANAGEMENT, AN (THIRD EDITION)

FINANCIAL DERIVATIVES PRICING: SELECTED WORKS OF ROBERT JARROW

ASSET PRICE BUBBLES: COMPETITIVE MARKET BUBBLES (IN 2 VOLUMES)

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