Financial Markets in Continuous Time

Name: Financial Markets in Continuous Time
Brand: Springer, Berlin
SKU: 9783540711490
Price: 51.7 EUR
Availability: InStock

Автор: Rose-Anne Dana, Monique Jeanblanc

Език:

Корици: С меки корици

Издател: Springer, Berlin

Наличност: Външен склад

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51.70 € 101.11 лв

In modern financial practice, asset prices are modelled by means of stochastic processes, and contin...

Информация за книгата

Автор

Rose-Anne Dana, Monique Jeanblanc

Език

Английски език

Корици

Книга - С меки корици

Издадена

2007

страници

324

EAN

9783540711490

ISBN

354071149X

Enbook ID

01568250

Издател

Springer, Berlin

Теглоt

528

Размери

156 x 234 x 18

Пълно описание

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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Financial Markets in Continuous Time

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Пълно описание

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