Financial Markets in Continuous Time - Couverture rigide

Dana, Rose-Anne; Jeanblanc, Monique

Couverture rigide

ISBN 10 : 3540434038 ISBN 13 : 9783540434030

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2002

Synopsis

This book explains key financial concepts, mathematical tools and theories of mathematical finance. The range of topics covered is very broad for an introductory text. The book 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 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.

A propos du livre

Revue de presse

"The objective of this book is to develop the continuous time theory of the valuation of asset prices and the theory of equilibrium of financial markets. ... This is a high-level but well-written summary of the modern essentials of mathematical finance, including excellent chapters on the yield curve, pricing interest rate products, exotic options and incomplete markets." --D.L. McLeish, Short Book Reviews, Vol. 23 (3), 2003

"This book gives an introduction to the theory of financial markets and its applications for the pricing and hedging of financial instruments. For an introductory text, the range of topics covered is amazingly broad. ... Many ideas and concepts are first introduced and studied in very simple discrete models, and it is particularly remarkable how many interesting developments are already explained in the first chapter ... . The material is chosen well and covers a considerable part of the subject area ... . " --Martin Schweizer, Zentralblatt MATH, Vol.1014, 2003

"Financial Markets in Continuous Time is a well-written textbook for graduate students in mathematical finance. ... Graduate students in finance, mathematics, financial engineering, and risk management would benefit from the book in grasping the key financial concepts, mathematical tools, and theories of this discipline. ... This book ... covers the most important advances in mathematical finance that form the foundation for much of the continuing growth of the discipline." --Thomas S. Y. Ho, SIAM Review, Vol. 46 (3), 2004

Présentation de l'éditeur

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.

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 2002
• Langue: anglais
• ISBN 10: 3540434038
• ISBN 13: 9783540434030
• Reliure: Relié
• Nombre de pages: 336
• Coordonnées du fabricant: non disponible
• Personne responsable: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Allemagne