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Karatzas, Shreve, Steven — Methods of Mathematical Finance
Karatzas, Shreve, Steven — Methods of Mathematical Finance



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Название: Methods of Mathematical Finance

Авторы: Karatzas, Shreve, Steven

Аннотация:

This book is the 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 a study of equilibrium, providing conditions for 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 book. This book will 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. The chapters on contingent claim valuation presents techniques of practical importance, especially for pricing exotic options.


Язык: en

Статус предметного указателя: Неизвестно

ed2k: ed2k stats

Год издания: 1998

Количество страниц: 415

Добавлена в каталог: 22.01.2014

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