Methods of Mathematical Finance. (Stochastic Modelling and Applied Probability 39)

Karatzas, Ioannis and Steven Shreve:

ISBN 10: 1441928529 / ISBN 13: 9781441928528

Published by Springer Verlag NY, 2010

About this Item

XV; 415 Seiten Der Erhaltungszustand des hier angebotenen Werks ist trotz seiner Bibliotheksnutzung sehr sauber. Es befindet sich neben dem Rückenschild lediglich ein Bibliotheksstempel im Buch; ordnungsgemäß entwidmet. In ENGLISCHER Sprache. Sprache: Englisch Gewicht in Gramm: 620.

Seller Inventory # 1696952

Bibliographic Details

• Title: Methods of Mathematical Finance. (Stochastic Modelling and Applied Probability 39)
• Publisher: Springer Verlag NY
• Publication Date: 2010
• Language: English
• ISBN 10: 1441928529
• ISBN 13: 9781441928528
• Binding: Broschiert
• Condition: Gut
• Weight: 620 grams
• Seller catalogs:
  • 200 Mathematik

About this title

Synopsis

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 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.

From the Back Cover

This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the 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 text. 

This monograph should 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.

Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.