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Methods of Mathematical Finance (Hardcover, 1st ed. 1998)
Loot Price: R3,734
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Methods of Mathematical Finance (Hardcover, 1st ed. 1998)
Expected to ship within 12 - 17 working days
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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 book.
This book will be of interest to researchers wishing to see
advanced mathematics applied to finance. The material on optimal
consumption and investment, leading to equilibrium, is addressed to
the theoretical finance community. The chapters on contingent claim
valuation present techniques of practical importance, especially
for pricing exotic options.
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