Methods of Mathematical Finance / Edition 1

Methods of Mathematical Finance / Edition 1

by Ioannis Karatzas, Steven Shreve
     
 

Written by two of the best-known researchers in mathematical finance, this book presents techniques of practical importance as well as advanced methods for research. Contingent claim pricing and optimal consumption/investment in both complete and incomplete markets are discussed, as well as Brownian motion in financial markets and constrained consumption and

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Overview

Written by two of the best-known researchers in mathematical finance, this book presents techniques of practical importance as well as advanced methods for research. Contingent claim pricing and optimal consumption/investment in both complete and incomplete markets are discussed, as well as Brownian motion in financial markets and constrained consumption and investment. This book treats these topics in a unified manner and is of practical importance to practitioners in mathematical finance, especially for pricing exotic options.

Product Details

ISBN-13:
9781441928528
Publisher:
Springer New York
Publication date:
02/15/2015
Series:
Stochastic Modelling and Applied Probability Series, #39
Edition description:
1st ed. 1998. Corr. 8th printing 2015
Pages:
416
Sales rank:
1,229,902
Product dimensions:
0.89(w) x 9.21(h) x 6.14(d)

Table of Contents

A Brownian Motion 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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