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Methods of Mathematical Finance
Ioannis Karatzas
€ 185.36
FREE Delivery in Ireland
Description for Methods of Mathematical Finance
Hardback. Series: Probability Theory and Stochastic Modelling. Num Pages: 415 pages, 20 black & white illustrations, biography. BIC Classification: KCA; PBT. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 24. Weight in Grams: 806.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2016
Publisher
Springer-Verlag New York Inc.
Condition
New
Series
Probability Theory and Stochastic Modelling
Number of Pages
415
Place of Publication
New York, United States
ISBN
9781493968145
SKU
V9781493968145
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Methods of Mathematical Finance
The book under review deals with the applications of stochastic analysis and optimal control theory to various problems arising in modern mathematical finance. In contrast to several other books on mathematical finance which appeared in recent years, this book deals not only with the so-called partial equilibrium approach (i.e., the arbitrage pricing of European and American contingent claims) but also ... Read more