Methods of Mathematical Finance

• Main Authors: Karatzas, Ioannis (Author), Shreve, Steven E. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 1998.
• Series: Applications of Mathematics, Stochastic Modelling and Applied Probability, 39
• Subjects: Mathematics.; Economics, Mathematical.; Probabilities.; Economic theory.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Economic Theory/Quantitative Economics/Mathematical Methods.

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 s...