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03365nam a22005175i 4500 |
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978-0-387-22705-4 |
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|a 9780387227054
|9 978-0-387-22705-4
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|a 10.1007/b98840
|2 doi
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|a HB135-147
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|a 519
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|a Karatzas, Ioannis.
|e author.
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|a Methods of Mathematical Finance
|h [electronic resource] /
|c by Ioannis Karatzas, Steven E. Shreve.
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|a New York, NY :
|b Springer New York :
|b Imprint: Springer,
|c 1998.
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|a XV, 415 p. 20 illus.
|b online resource.
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|a text
|b txt
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|a computer
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|a text file
|b PDF
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|a Applications of Mathematics, Stochastic Modelling and Applied Probability,
|x 0172-4568 ;
|v 39
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|a A Brownian Model of Financial Markets -- Contingent Claim Valuation in a Complete Market -- Single-Agent Consumption and Investment -- Equilibrium in a Complete Market -- Contingent Claims in Incomplete Markets -- Constrained Consumption and Investment.
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|a 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 the study of complete market 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. .
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|a Mathematics.
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|a Economics, Mathematical.
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|a Probabilities.
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|a Economic theory.
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|a Mathematics.
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|a Quantitative Finance.
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|a Probability Theory and Stochastic Processes.
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|a Economic Theory/Quantitative Economics/Mathematical Methods.
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|a Shreve, Steven E.
|e author.
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9781441928528
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| 830 |
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|a Applications of Mathematics, Stochastic Modelling and Applied Probability,
|x 0172-4568 ;
|v 39
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|u http://dx.doi.org/10.1007/b98840
|z Full Text via HEAL-Link
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|a ZDB-2-SMA
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|a ZDB-2-BAE
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|a Mathematics and Statistics (Springer-11649)
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