Titlebook: Continuous-Time Asset Pricing Theory; A Martingale-Based A Robert A. Jarrow Textbook 2021Latest edition Springer Nature Switzerland AG 2021

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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

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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

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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

Provenance

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https://doi.org/10.1007/978-3-030-74410-6Asset Pricing Theory; Continuous-Time Asset Pricing; Portfolio Optimization; Arbitrage Pricing; Martinga

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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