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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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£109.99 |
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We believe that this item is permanently unavailable, and so we cannot source
it.
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| ISBN 10: |
1493968149 |
| ISBN 13: |
9781493968145 |
| Publisher: |
SPRINGER-VERLAG NEW YORK INC. |
| Pub. date: |
30 December, 2016 |
| Edition: |
1st ed. 1998 |
| Series: |
Probability Theory and Stochastic Modelling 39 |
| Pages: |
415 |
| 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 Illustrations, black and white; XV, 415 p. 20 illus. |
| Publication: |
US |
| Imprint: |
Springer-Verlag New York Inc. |
| Returns: |
Returnable |
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