Financial Markets in Continuous Time (Springer Finance) - Hardcover

Buch 9 von 53: Springer Finance

Dana, Rose-Anne; Jeanblanc, Monique

 
9783540434030: Financial Markets in Continuous Time (Springer Finance)
Hardcover
ISBN 10: 3540434038 ISBN 13: 9783540434030
Verlag: Springer, 2002

Inhaltsangabe

In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has 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 general equilibrium theory, and applies this in financial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.

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In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has 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 general equilibrium theory, and applies this in financial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.

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Verlag
Springer
Erscheinungsdatum
2002
Sprache
Englisch
ISBN 10 
3540434038
ISBN 13 
9783540434030
Einband
Gebundene Ausgabe
Anzahl der Seiten
336
Kontakt zum Hersteller
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Darmstadt
64293
Deutschland

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Vorgestellte Ausgabe

ISBN 10:  354071149X ISBN 13:  9783540711490
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Softcover