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＜電子ブック＞
Methods of Mathematical Finance / by Ioannis Karatzas, Steven Shreve
(Stochastic Modelling and Applied Probability. ISSN:2197439X ; 39)

版	1st ed. 1998.
出版者	(New York, NY : Springer New York : Imprint: Springer)
出版年	1998
本文言語	英語
大きさ	XV, 415 p. 20 illus : online resource
著者標目	*Karatzas, Ioannis author Shreve, Steven author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Probabilities LCSH:Econometrics FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory FREE:Quantitative Economics
一般注記	A Brownian Model of Financial Markets -- Contingent Claim Valuation in a Complete Market -- Single-Agent Consumption and Investment -- Equilibrium in a Complete Market -- Contingent Claims in Incomplete Markets -- Constrained Consumption and Investment This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to the study of complete market equilibrium, providing conditions for the 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 text. This monograph should 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. Thechapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8. HTTP:URL=https://doi.org/10.1007/978-1-4939-6845-9

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