Financial Markets in Continuous Time

Name: Financial Markets in Continuous Time
Author: Rose-Anne Dana

Paperback Engels 2007 2003e druk 9783540711490

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Samenvatting

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in 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 equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.

Specificaties

ISBN13:9783540711490

Taal:Engels

Bindwijze:paperback

Aantal pagina's:326

Uitgever:Springer Berlin Heidelberg

Druk:2003

Hoofdrubriek:Financieel management, Financieel management

Serie:Springer Finance

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Inhoudsopgave

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.