Financial markets in continuous time
著者
書誌事項
Financial markets in continuous time
（Springer finance, Textbook）
Springer, c2007
Corrected 2nd. print
- タイトル別名
-
Marchés financiers en temps continu
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注記
Translation of: Marchés financiers en temps continu
Includes bibliographical references (p. [301]-321) and index
内容説明・目次
内容説明
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.
目次
The Discrete Case.- Dynamic Models in Discrete Time.- The Black-Scholes Formula.- Portfolios Optimizing Wealth and Consumption.- The Yield Curve.- Equilibrium of Financial Markets in Discrete Time.- Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case.- Incomplete Markets.- Exotic Options.
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