| 書目名稱 | Financial Markets in Continuous Time |
| 編輯 | Rose-Anne Dana,Monique Jeanblanc |
| 視頻video | http://file.papertrans.cn/344/343114/343114.mp4 |
| 概述 | Explains key financial concepts, mathematical tools and theories of mathematical finance.Range of topics covered is very broad for an introductory text.Contains two separate appendices on Brownian mot |
| 叢書名稱 | Springer Finance |
| 圖書封面 |  |
| 描述 | In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has 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. |
| 出版日期 | Textbook 2003 |
| 關鍵詞 | YellowSale2006; complete and incomplete markets; equilibrium; investment; optimisation of consumption; pr |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-540-71150-6 |
| isbn_softcover | 978-3-540-71149-0 |
| isbn_ebook | 978-3-540-71150-6Series ISSN 1616-0533 Series E-ISSN 2195-0687 |
| issn_series | 1616-0533 |
| copyright | Springer-Verlag Berlin Heidelberg 2003 |
|Archiver|手機版|小黑屋|
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