Methods of Mathematical Finance (Hardcover, 1st ed. 1998)

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.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Release date:	December 2016
First published:	1998
Authors:	Ioannis Karatzas • Steven Shreve
Dimensions:	235 x 155 x 32mm (L x W x T)
Format:	Hardcover
Pages:	415
Edition:	1st ed. 1998
ISBN-13:	978-1-4939-6814-5
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Business & Economics > Finance & accounting > General Books > Science & Mathematics > Mathematics > Probability & statistics Promotions
LSN:	1-4939-6814-9
Barcode:	9781493968145

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