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＜電子ブック＞
Financial Markets in Continuous Time / by Rose-Anne Dana, Monique Jeanblanc
(Springer Finance Textbooks. ISSN:29459125)

版	1st ed. 2003.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2003
大きさ	XII, 324 p : online resource
著者標目	*Dana, Rose-Anne author Jeanblanc, Monique author SpringerLink (Online service)
件　名	LCSH:Social sciences—Mathematics LCSH:Probabilities FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory
一般注記	The Discrete Case -- Dynamic Models in Discrete Time -- The Black-Scholes Formula -- Portfolios Optimizing Wealth and Consumption -- The Yield Curve -- Equilibrium of Financial Markets in Discrete Time -- Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case -- Incomplete Markets -- Exotic Options 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 HTTP:URL=https://doi.org/10.1007/978-3-540-71150-6

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