Financial Markets in Continuous Time Tapa dura - 2002 - 2003rd Edición
de Rose-Anne Dana; A. Kennedy (Translator); Monique Jeanblanc
Primera línea
Here we study a financial market with two dates, time 0 and time 1, in the very simple case of two possible states of the world at time 1.
Descripción de contraportada
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.
Detalles
- Título Financial Markets in Continuous Time
- Autor Rose-Anne Dana; A. Kennedy (Translator); Monique Jeanblanc
- Encuadernación Tapa dura
- Número de edición 2003rd
- Edición 2003
- Páginas 324
- Volúmenes 1
- Idioma ENG
- Editorial Springer
- Fecha de publicación 2002-11-26
- ISBN 9783540434030 / 3540434038
- Peso 1.44 libras (0.65 kg)
- Dimensiones 9.21 x 6.14 x 0.81 pulgadas (23.39 x 15.60 x 2.06 cm)
- Número de catálogo de la Librería del Congreso de EEUU 2002191125
- Dewey Decimal Code 332.015
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