Methods of Mathematical Finance. This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment
in both complete and incomplete
Les mer... markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended
to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several
heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated
for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including
topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to
finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance
community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic
options.
Forfattere: Steven E. Shreve, Ioannis Karatzas |
Utgave: ukjent |
Språk: Engelsk |
Sidetall: 431 |
ISBN: 9780387948393 |
Vekt: 1071 g |
Forlag: Springer |
Innbinding: Innbundet |
Utgitt: 1998 |
Veil. pris: 0 kr |