Chapter 1 An Introduction to Financial Asset Pricing

Handbooks in Operations Research and Management Science

Volumn 15, Issue C, 2007, Pages 13-69

  Jarrow, Robert A ^a   Protter, Philip ^b  

^a Dyson School of Applied Economics and Management   (United States)

^b Department of Molecular Biology and Genetics   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77950617024     PISSN: 09270507     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0927-0507(07)15001-5     Document Type: Review

References (53)

1. Artzner P., and Heath D. Approximate completeness with multiple martingale measures. Mathematical Finance 5 (1995) 1-11
2. Bally V., Pagès G., and Printems J. A quantization tree method for pricing and hedging multidimensional American options. Mathematical Finance 15 (2005) 119-168
3. Bernstein P.L. Capital Ideas (1992), Free Press, New York
4. Bertoin J. Lévy Processes (1996), Cambridge Univ. Press, Cambridge, UK
5. Black F., and Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973) 637-659
6. Brown D.J., and Ross S.A. Spanning, valuation and options. Economic Theory 1 (1991)
7. Carr P., and Wu L. What type of process underlies options? A simple robust test. The Journal of Finance 53 (2003) 2581-2610
8. Cheridito, P., Filipovic, D., Yor, M. (in press). Equivalent and absolutely continuous measure changes for jump-diffusion processes. Annals of Applied Probability
9. Clark J.M.C. The representation of functionals of Brownian motion by stochastic integrals. Annals of Math Statistics 41 (1970) 1282-1295
10. Clark P.K. A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41 (1973) 135-155
11. Cox J., Ross S., and Rubinstein M. Option pricing: A simplified approach. Journal of Financial Economics 7 (1979) 229-263
12. Dalang R., Morton A., and Willinger W. Equivalent martingale measures and no arbitrage in stochastics securities market models. Stochastics and Stochastic Reports 29 (1990) 185-201
13. Delbaen F., and Schachermayer W. A general version of the fundamental theorem of asset pricing. Mathematische Annalen 300 (1994) 463-520
14. Delbaen F., and Schachermayer W. The existence of absolutely continuous local martingale measures. Annals of Applied Probability 5 (1995) 926-945
15. Delbaen F., and Schachermayer W. The fundamental theorem for unbounded stochastic processes. Mathematische Annalen 312 (1998) 215-250
16. Dellacherie C., and Meyer P.A. Probabilities and Potential (1978), Elsevier, North-Holland
17. Dritschel M., and Protter P. Complete markets with discontinuous security price. Finance and Stochastics 3 (1999) 203-214
18. Duffie D. Dynamic Asset Pricing Theory. third ed (2001), Princeton Univ. Press, Princeton
19. El Karoui N., Kapoudjian C., Pardoux E., Peng S., and Quenez M.C. Reflected solutions of backward SDEs, and related obstacle problems for PDEs. Annals of Probability 25 (1997) 702-737
20. Föllmer H., and Sondermann D. Hedging of nonredundant contingent claims. In: Hildebrand W., and Mas-Colell A. (Eds). Contributions to Mathematical Economics (1986) 205-223
21. Geman H., El Karoui N., and Rochet J.-C. Changes of numéraire, change of probability measure and option pricing. Journal of Applied Probability 32 (1995) 443-458
22. Gobet, E., Lemor, J.-P., Warin, X. (in press). A regression based Monte-Carlo method to solve backward stochastic differential equations. Annals of Applied Probability
23. Goldman M.B., Sosin H., and Gatto M.A. Path dependent options: 'Buy at the low, sell at the high'. Journal of Finance 34 (1979) 1111-1127
24. Hald A. T.N. Thiele's contributions to statistics. International Statistical Review 49 (1981) 1-20
25. Harrison J.M., and Kreps D.M. Martingales and arbitrage in multiperiod security markets. Journal of Economic Theory 20 (1979) 381-408
26. Harrison J.M., and Pliska S.R. Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and Their Applications 11 (1981) 215-260
27. Huang C.-F. Information structures and viable price systems. Journal of Mathematical Economics 14 (1985) 215-240
28. Jacod J., and Protter P. Probability Essentials. second ed. corrected (2004), Springer-Verlag, Heidelberg
29. Jacod J., and Shiryaev A.N. Limit Theorems for Stochastic Processes. second ed (2002), Springer-Verlag, Heidelberg
30. Jacod J., Méléard S., and Protter P. Martingale representation: Formulas and robustness. Annals of Probability 28 (2000) 1747-1780
31. Jarrow R.A., and Protter P. A short history of stochastic integration and mathematical finance: The early years, 1880-1970. The Herman Rubin Festschrift. IMS Lecture Notes vol. 45 (2004) 75-91
32. Jarrow R.A., and Protter P. Liquidity risk and option pricing theory. In: Birge J.R., and Linetsky V. (Eds). Handbook in Operations Research and Management Science: Financial Engineering vol. 15 (2007), Elsevier, Amsterdam (this volume)
33. Jarrow R.A., Jin X., and Madan D.B. The second fundamental theorem of asset pricing. Mathematical Finance 9 (1999) 255-273
34. Jeanblanc M., and Privault N. A complete market model with Poisson and Brownian components. Seminar on Stochastic Analysis, Random Fields and Applications, III. Ascona, 1999. Progr. Probab. vol. 52 (2002), Birkhäuser, Basel 189-204
35. Jeanblanc-Piqué M., and Pontier M. Optimal portfolio for a small investor in a market model with discontinuous prices. Applied Mathematics and Optimization 22 (1990) 287-310
36. Karatzas I., and Shreve S.E. Methods of Mathematical Finance (1998), Springer-Verlag, New York
37. Kifer Y. Game options. Finance and Stochastics 4 (2000) 443-463
38. Kusuoka S. A remark on default risk models. Advances in Mathematics and Economy 1 (1999) 69-82
39. Lemor, J.-P. (2005). Approximation par projections et simulations de Monte-Carlo des équations différentielles stochastiques rétrogrades. PhD thesis, École Polytechnique
40. Ma J., and Cvitanić J. Reflected forward-backward SDE's and obstacle problems with boundary conditions. Journal of Applied Mathematics and Stochastic Analysis 14 (2001) 113-138
41. Ma J., Protter P., San Martin J., and Torres S. A numerical method for backward stochastic differential equations. Annals of Applied Probability 12 (2002) 302-316
42. Madan D., and Yor M. Making Markov martingales meet marginals: With explicit constructions. Bernoulli 8 (2002) 509-536
43. Merton R. The theory of rational option pricing. Bell Journal of Economics and Management Science 4 (1973) 141-183
44. Musiela M., and Rutkowski M. Martingale Methods in Financial Modelling (1997), Springer-Verlag, Heidelberg
45. Protter P. A partial introduction to financial asset pricing theory. Stochastic Processes and Their Applications 91 (2001) 169-203
46. Protter P. Stochastic Integration and Differential Equations. second ed. Version 2.1 (2005), Springer-Verlag, Heidelberg
47. Protter, P., Shimbo, K. (2006). No arbitrage and general semimartingales. In preparation
48. Samuelson P. Rational theory of warrant pricing. Industrial Management Review 6 (1965) 13-31
49. Shimbo, K. (2006). PhD thesis, Cornell University. In preparation
50. Shiryaev A.N. Essentials of Stochastic Finance: Facts, Models, Theory (1999), World Scientific, Singapore
51. Shreve S.E. Stochastic Calculus for Finance II: Continuous Time Models (2004), Springer-Verlag, New York
52. Wall Street Journal (May 15, 2000). Page C1
53. 1. Séminaire de Probabilités XIV. Springer Lecture Notes in Math. vol. 784 (1980) 220-222