Methods of Mathematical Finance (Stochastic Modelling and Applied Probability)
Karatzas, Ioannis; Shreve, Steven E.
Language: English
Published by Springer Verlag, 2001
Series: Book 10 of 35 - Probability Theory and Stochastic Modelling
- Hardcover
- Used
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Seller Inventory # SEWV.0387948392.G
- Title
- Methods of Mathematical Finance (Stochastic Modelling and Applied Probability)
- Author
- Karatzas, Ioannis; Shreve, Steven E.
- Publisher
- Springer Verlag
- Publication year
- 2001
- Condition
- good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0387948392
- ISBN 13
- 9780387948393
- Series
- Book 10 of 35: Probability Theory and Stochastic Modelling
"Synopsis" may belong to another edition of this title.
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.
"About the title" may belong to another edition of this title.
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