作者: Allowance 時(shí)間: 2025-3-21 21:59 作者: 事先無準(zhǔn)備 時(shí)間: 2025-3-22 01:18
Textbook 2021Latest editionion 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 t作者: Urea508 時(shí)間: 2025-3-22 06:20 作者: FLORA 時(shí)間: 2025-3-22 10:35
1616-0533 of asset price bubbles.Sequentially studies arbitrage pricin.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 作者: arabesque 時(shí)間: 2025-3-22 14:21
Leitf?den und Monographien der Informatiklphas trading strategies. These models can be derived using only the Third Fundamental Theorem . of asset pricing in Chap. .. A special case of this chapter is Ross’s APT, which illustrates the notion of portfolio diversification. This chapter is based on Jarrow and Protter (Math Financial Econom 10:29–48, 2016).作者: arabesque 時(shí)間: 2025-3-22 19:06 作者: glowing 時(shí)間: 2025-3-22 21:12
https://doi.org/10.1007/978-3-322-93882-4e theorems are provided, only references for such. The basics concepts from probability theory are used below without any detailed explanation [see Ash (Real analysis and probability, Academic, New York, 1972) or Jacod and Protter (Probability essentials, Springer, New York, 2000) for this background material].作者: biosphere 時(shí)間: 2025-3-23 04:22
https://doi.org/10.1007/978-3-322-94014-8es that only a subset of the firm’s liabilities trade, those that need to be priced and hedged. This is the model studied in this chapter. This chapter is based on Jarrow (Annu Rev Financ Econ 1:37–68, 2009).作者: Credence 時(shí)間: 2025-3-23 05:42 作者: Hyperopia 時(shí)間: 2025-3-23 11:51
Wissenschaft: ein kulturelles Deutungssystemtion of an economic equilibrium. Such a rigorous definition allows new insights into the testing of an informationally efficient market, which will be discussed below. This chapter is based on Jarrow and Larsson.作者: Blazon 時(shí)間: 2025-3-23 15:55 作者: 尋找 時(shí)間: 2025-3-23 21:52 作者: 稱贊 時(shí)間: 2025-3-24 01:51 作者: 過渡時(shí)期 時(shí)間: 2025-3-24 02:46
Market Informational Efficiencytion of an economic equilibrium. Such a rigorous definition allows new insights into the testing of an informationally efficient market, which will be discussed below. This chapter is based on Jarrow and Larsson.作者: 和平主義 時(shí)間: 2025-3-24 08:33 作者: 美學(xué) 時(shí)間: 2025-3-24 14:31
Utility Functionsthe information filtration given above correspond to the trader’s information set. When we study the notion of an equilibrium in Part III of this book, we will introduce a distinction between the trader’s beliefs and the statistical probability measure, and a distinction between the trader’s information set and the information within a market.作者: 托運(yùn) 時(shí)間: 2025-3-24 15:06 作者: Fortuitous 時(shí)間: 2025-3-24 21:15
Stochastic Processes stochastic calculus, Springer, Berlin, 1988), Medvegyev (Stochastic integration theory, Oxford University Press, New York, 2009), Rogers and Williams (Diffusions, Markov processes, and martingales: volume 2 Ito calculus, Wiley, New York, 1987), and Protter (Stochastic integration and differential e作者: SKIFF 時(shí)間: 2025-3-25 00:57 作者: Needlework 時(shí)間: 2025-3-25 04:07 作者: 氣候 時(shí)間: 2025-3-25 08:14 作者: QUAIL 時(shí)間: 2025-3-25 14:18
Reduced Form Credit Risk Models. This model assumes that all of the assets of the firm trade, an unrealistic assumption. Consequently, this model is best used for conceptual understanding (see Jarrow (Financ Res Lett 8:2–7, 2011) for a detailed discussion). Merton’s structural model was studied in Sect. . of Chap. .. The second i作者: Insatiable 時(shí)間: 2025-3-25 17:07 作者: Soliloquy 時(shí)間: 2025-3-25 21:57
A Representative Trader Economyypothetical individual whose trades, in a sense to be made precise below, reflect the aggregate trades of all individuals in the economy. A representative trader is defined by her beliefs, utility function, and endowments, which are constructed by aggregating the beliefs, utility functions, and endo作者: Facilities 時(shí)間: 2025-3-26 00:58
Characterizing the Equilibriumers having preferences only over terminal wealth. The last section in this chapter discusses the necessary changes needed to include intermediate consumption. The key result in this chapter is a characterization of the equilibrium supermartingale deflator as a function of the economy’s primitives: b作者: Provenance 時(shí)間: 2025-3-26 08:08 作者: 政府 時(shí)間: 2025-3-26 12:06
https://doi.org/10.1007/978-3-030-74410-6Asset Pricing Theory; Continuous-Time Asset Pricing; Portfolio Optimization; Arbitrage Pricing; Martinga作者: 惰性氣體 時(shí)間: 2025-3-26 13:34 作者: Common-Migraine 時(shí)間: 2025-3-26 20:37
Robert A. JarrowCreates the foundation for the use of machine learning and high dimensional statistics in multi-factor models.Offers a deeper understanding of asset price bubbles.Sequentially studies arbitrage pricin作者: Entreaty 時(shí)間: 2025-3-26 21:32
Springer Financehttp://image.papertrans.cn/c/image/237037.jpg作者: 急性 時(shí)間: 2025-3-27 04:12
Continuous-Time Asset Pricing Theory978-3-030-74410-6Series ISSN 1616-0533 Series E-ISSN 2195-0687 作者: 忍受 時(shí)間: 2025-3-27 08:02
Fundamentale verteilte Algorithmen, They are motivated by the first and third fundamental theorems which show that NFLVR only implies the existence of a local martingale measure and not a martingale measure. Asset price bubbles clarify the economic meaning of this difference. The material in this chapter is based on the papers by Jarrow, Protter, and Shimbo.作者: AMOR 時(shí)間: 2025-3-27 12:47 作者: 小步走路 時(shí)間: 2025-3-27 14:24 作者: antedate 時(shí)間: 2025-3-27 19:37
A Representative Trader Economyypothetical individual whose trades, in a sense to be made precise below, reflect the aggregate trades of all individuals in the economy. A representative trader is defined by her beliefs, utility function, and endowments, which are constructed by aggregating the beliefs, utility functions, and endowments of all the traders in the economy.作者: 先驅(qū) 時(shí)間: 2025-3-27 23:09 作者: Lumbar-Spine 時(shí)間: 2025-3-28 05:25 作者: 非實(shí)體 時(shí)間: 2025-3-28 09:28 作者: 連詞 時(shí)間: 2025-3-28 12:03
https://doi.org/10.1007/978-3-322-94014-8ive markets, and assuming a complete market, this is the most general arbitrage-free pricing model possible with a stochastic term structure of interest rates. This model, with appropriate modifications, can also be used to price derivatives whose values depend on a term structure of underlying asse作者: extemporaneous 時(shí)間: 2025-3-28 15:05 作者: strdulate 時(shí)間: 2025-3-28 20:41 作者: CAB 時(shí)間: 2025-3-29 02:56 作者: 不利 時(shí)間: 2025-3-29 05:25
Verhandlungen (mit) der Bauverwaltungers having preferences only over terminal wealth. The last section in this chapter discusses the necessary changes needed to include intermediate consumption. The key result in this chapter is a characterization of the equilibrium supermartingale deflator as a function of the economy’s primitives: b作者: 健談 時(shí)間: 2025-3-29 09:54
Wissenschaft: ein kulturelles Deutungssystemd the solution to a trader’s portfolio optimization problem (as in Part II) and the meaning of an economic equilibrium (as in Chaps. . and .). Given these insights, a rigorous definition of an efficient market can be formulated. This rigorous definition is contrasted with the intuitive definition or作者: 薄荷醇 時(shí)間: 2025-3-29 11:59 作者: 大約冬季 時(shí)間: 2025-3-29 18:17 作者: Picks-Disease 時(shí)間: 2025-3-29 20:00 作者: Armory 時(shí)間: 2025-3-30 00:56 作者: Altitude 時(shí)間: 2025-3-30 05:56
Richtungswinkel und Entfernung,This chapter studies the investor’s portfolio optimization problem in an incomplete market. The solution in this chapter parallels the solution for the complete market setting in Chap. ..作者: LINES 時(shí)間: 2025-3-30 10:35
Jann Holl,R Zippelius,J. BrammsenThis chapter studies the investor’s optimization problem in an incomplete market where the investor has a utility function defined over both terminal wealth and intermediate consumption. The presentation parallels the portfolio optimization problem studied in Chap. ., and it is based on Jarrow (Quart J Finance8:33, 2017).作者: 咽下 時(shí)間: 2025-3-30 13:22 作者: 外科醫(yī)生 時(shí)間: 2025-3-30 20:35 作者: 混沌 時(shí)間: 2025-3-30 23:01
The Black Scholes Merton ModelThis chapter presents the seminal Black-Scholes-Merton (BSM) model for pricing options. Since this chapter is a special case of the material contained in Sect. . in Chap. ., the presentation will be brief. In addition, as an application of the BSM model, Merton’s structural models for credit risk is included herein.作者: 笨拙的我 時(shí)間: 2025-3-31 03:06
Incomplete MarketsThis chapter studies the arbitrage-free pricing of derivatives in an incomplete market satisfying NFLVR. This chapter is a modest generalization of the presentation contained in Pham (. (Springer, Berlin, 2009)) to discontinuous risky asset price processes.作者: aristocracy 時(shí)間: 2025-3-31 06:30
