Continuous-Time Asset Pricing Theory : A Martingale-Based Approach

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.