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Item Details
| Title:
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METHODS OF MATHEMATICAL FINANCE
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| By: |
Ioannis Karatzas, Steven E. Shreve |
| Format: |
Hardback |
| List price:
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£99.50 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
0387948392 |
| ISBN 13: |
9780387948393 |
| Publisher: |
SPRINGER-VERLAG NEW YORK INC. |
| Pub. date: |
13 August, 1998 |
| Edition: |
1st ed. 1998, Corr. 9th printing 2016 |
| Series: |
Stochastic Modelling and Applied Probability v. 39 |
| Pages: |
431 |
| Description: |
Contains a set of references and notes describing the field. This book is useful to researchers willing to see advanced mathematics applied to finance. The chapters on contingent claim valuation presents techniques of practical importance, especially for pricing exotic options. |
| Synopsis: |
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. 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 present techniques of practical importance, especially for pricing exotic options. |
| Illustrations: |
20 black & white illustrations, biography |
| Publication: |
US |
| Imprint: |
Springer-Verlag New York Inc. |
| Returns: |
Returnable |
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