Continuous-Time Asset Pricing Theory

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell’s SC Johnson College of Business (Ithaca, New York) and director of research at Kamakura Corporation. He is a co-creator of the Heath–Jarrow–Morton (HJM) model, the reduced form credit risk model, and the forward price martingale measure. These are the standard models used for pricing and hedging derivatives in major financial institutions. He was the first to distinguish forward/futures prices and to study market manipulation using arbitrage-pricing theory. He has received numerous awards, including the CBOE Pomerance Prize for Options Research, the Graham and Dodd Scrolls Award, the Bernstein Fabozzi/Jacobs Levy Award, the 1997 IAFE/SunGard Financial Engineer of the Year, and Risk Magazine’s 2009 Lifetime Achievement Award. He is on the advisory board of Mathematical Finance – a journal he co-started in 1989, and he is an associate or advisory editor for numerous other journals. Heis an IAFE senior fellow, and a member of the Fixed Income Analysts Society Hall of Fame and Risk Magazine’s 50 member Hall of Fame. He has written seven books, including the first textbooks on the Black–Scholes and the HJM models, as well as over 200 publications in leading academic journals.

• Preface.- Contents.- Part I Arbitrage Pricing Theory.- Part II Portfolio Optimization. - Part III Equilibrium. - Part IV Trading Constraints. - References.- Index.

“This book is very good reading for a Ph. D. student that wants to find in a single reference so much material and treated with a clarity that comes from the fact that the author has been a major contributor to most of these research topics over the last decades.” (Gianluca Cassese, zbMATH 1432.91002, 2020)“This book is a splendid compilation of the main research recently done in the fields of arbitrage pricing, portfolio theory and market efficiency. … This book is a reference for those researchers interested in asset pricing by using stochastic calculus.” (Salvador C. Rambaud, Mathematical Reviews, July, 2019)