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Financial Markets in Continuous Time

Name: Financial Markets in Continuous Time
Brand: Springer, Berlin
SKU: 01568250
Price: 20025 HUF
Availability: InStock
Author: Rose-Anne Dana
ISBN: 9783540711490

Rose-Anne Dana

Monique Jeanblanc

Language

English

Book Paperback

Libristo code: 01568250

Publishers Springer, Berlin, November 2006

In modern financial practice, asset prices are modelled by means of stochastic processes, and contin... Full description

Libristo code: 01568250

133 b

20 025 Ft

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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.