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.

• Preface.- Contents.- Part I Arbitrage Pricing Theory.-  Chapter 1 Stochastic Processes.- Chapter 2 The Fundamental Theorems.- Chapter 3 Asset Price Bubbles.- Chapter 4 Basis Assets, Multiple-Factor Beta Models, and Systematic Risk.- Chapter 5 The Black Scholes Merton Model.- Chapter 6 The Heath Jarrow Morton Model.- Chapter 7 Reduced Form Credit Risk Models.- Chapter 8 Incomplete Markets.- Part II Portfolio Optimization.- Chapter 9 Utility Functions.- Chapter 10 Complete Markets (Utility over Terminal Wealth).- Chapter 11 Incomplete Markets (Utility over Terminal Wealth).- Chapter 12 Incomplete Markets (Utility over Intermediate Consumption and Terminal Wealth).- Part III Equilibrium.- Chapter 13 Equilibrium.- Chapter 14 A Representative Trader Economy.- Chapter 15 Characterizing the Equilibrium.- Chapter 16 Market Informational Efficiency.- Chapter 17 Epilogue (The Fundamental Theorems and the CAPM).- Part IV Trading Constraints.- Chapter 18 The Trading Constrained Market.- Chapter 19 Arbitrage Pricing Theory.- Chapter 20 The Auxiliary Markets.- Chapter 21 Super- and Sub-Replication.- Chapter 22 Portfolio Optimization.- Chapter 23 Equilibrium.- References.- Index.

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