Continuous-Time Asset Pricing Theory: A Martingale-Based Approach (Hardcover, 2, 2021)

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.