Financial Markets in Continuous Time / Edition 1

Financial Markets in Continuous Time / Edition 1

by Rose-Anne Dana, Monique Jeanblanc
     
 

ISBN-10: 3540434038

ISBN-13: 9783540434030

Pub. Date: 01/17/2003

Publisher: Springer Berlin Heidelberg

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 shastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and

Overview

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 shastic 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.

Product Details

ISBN-13:
9783540434030
Publisher:
Springer Berlin Heidelberg
Publication date:
01/17/2003
Series:
Springer Finance / Springer Finance Textbooks Series
Edition description:
2003
Pages:
324
Product dimensions:
0.81(w) x 6.14(h) x 9.21(d)

Table of Contents

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.

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