This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This paper presents a stochastic differential formulation of recursive utility. Sufficient
conditions are given for existence, uniqueness, time consistency, monotonicity, continuity …

This paper studies the relation between changes in financial investment opportunities and
changes in the macroeconomy. States variables such as the lagged production growth rate …

Asset pricing theory is presented with representative-agent utility given by a stochastic
differential formulation of recursive utility. Asset returns are characterized from general first …

This work shows the existence and uniqueness of the solution of Backward stochastic
differential equations inspired from a model for stochastic differential utility in Finance …

This paper analyzes asset prices in an exchange economy in which the preferences of the
representative agent exhibit habit formation. For a general class of utility indices and …

We examine consumption and investment decisions in a life-cycle model with habit
formation, stochastic opportunity set, stochastic wages and labor supply flexibility …

In modern financial practice, asset prices are modelled by means of stochastic processes.
Continuous-time stochastic calculus thus plays a central role in financial modelling. The …

There are already many good textbooks on financial markets and investments with the book
by Bodie, Kane, and Marcus (2014) as a popular and excellent example. This book …