Financial Markets in Continuous Time
(Sprache: Englisch)
This book explains key financial concepts, mathematical tools and theories of mathematical finance. The range of topics covered is very broad for an introductory text. The book contains two separate appendices on Brownian motion and on numerical methods.
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This book explains key financial concepts, mathematical tools and theories of mathematical finance. The range of topics covered is very broad for an introductory text. The book contains two separate appendices on Brownian motion and on numerical methods.
Klappentext zu „Financial Markets in Continuous Time “
This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.
Inhaltsverzeichnis zu „Financial Markets in Continuous Time “
The Discrete Case.- Dynamic Models in Discrete Time.- The Black-Scholes Formula.- Portfolios Optimizing Wealth and Consumption.- The Yield Curve.- Equilibrium of Financial Markets in Discrete Time.- Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case.- Incomplete Markets.- Exotic Options.
Bibliographische Angaben
- Autoren: Rose-Anne Dana , Monique Jeanblanc
- 2002, 2003., 324 Seiten, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Übersetzung:Kennedy, A.
- Herausgegeben: A. Kennedy
- Übersetzer: A. Kennedy
- Verlag: Springer
- ISBN-10: 3540434038
- ISBN-13: 9783540434030
- Erscheinungsdatum: 26.11.2002
Sprache:
Englisch
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