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Focusing on Brownian-motion-driven asset prices, this monograph explores contingent claim pricing and optimal consumption/investment strategies in both complete and incomplete markets. It extends the discussion to complete market equilibrium, detailing conditions for the existence and uniqueness of market prices that facilitate trading among diverse agents. Notably, it presents previously scattered incomplete-market material in a cohesive format. The book also features a comprehensive collection of references and notes, enriching the reader's understanding of the field.
Zakup książki
Methods of Mathematical Finance, Ioannis Karatzas, Steven Shreve
- Język
- Rok wydania
- 2016
- Oprawa
- (twarda)
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- Tytuł
- Methods of Mathematical Finance
- Język
- angielski
- Autorzy
- Ioannis Karatzas, Steven Shreve
- Wydawca
- Springer New York
- Rok wydania
- 2016
- Oprawa
- twarda
- Liczba stron
- 432
- ISBN13
- 9781493968145
- Seria
- Ocena
- 4,35 z 5
- Opis
- Focusing on Brownian-motion-driven asset prices, this monograph explores contingent claim pricing and optimal consumption/investment strategies in both complete and incomplete markets. It extends the discussion to complete market equilibrium, detailing conditions for the existence and uniqueness of market prices that facilitate trading among diverse agents. Notably, it presents previously scattered incomplete-market material in a cohesive format. The book also features a comprehensive collection of references and notes, enriching the reader's understanding of the field.