Methods of Mathematical Finance
1st Edition
Published on 15. February 2015
Book
Paperback/Softback
XV, 416 pages
978-1-4419-2852-8 (ISBN)
Description
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.
Reviews / Votes
"The book under review deals with the applications of stochastic analysis and optimal control theory to various problems arising in modern mathematical finance. In contrast to several other books on mathematical finance which appeared in recent years, this book deals not only with the so-called partial equilibrium approach (i.e., the arbitrage pricing of European and American contingent claims) but also with the general equilibrium approach (i.e., with the equilibrium specification of prices of primary assets). A major part of the book is devoted to solving valuation and portfolio optimization problems under market imperfections, such as market incompleteness and portfolio constraints. ... Undoubtedly, the book constitutes a valuable research-level text which should be consulted by anyone interested in the area. Unlike other currently available monographs, it provides an exhaustive and up-to-date treatment of portfolio optimization and valuation problems under constraints. It is also quite suitable as a textbook for an advanced course on mathematical finance." (Marek RutKowski, Mathematical Reviews)More details
Product info
Paperback
Series
Edition
Softcover reprint of the original 1st ed. 1998
Language
English
Place of publication
New York, NY
United States
Target group
Research
Product notice
Paperback (trade)
Illustrations
20 s/w Abbildungen
20 black & white illustrations, biography
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 23 mm
Weight
655 gr
ISBN-13
978-1-4419-2852-8 (9781441928528)
DOI
10.1007/b98840
Schweitzer Classification
Other editions
Additional editions
Ioannis Karatzas | Steven Shreve
Methods of Mathematical Finance
E-Book
01/2017
Springer
€139.09
Available for download
Ioannis Karatzas | Steven Shreve
Methods of Mathematical Finance
Book
09/2001
1st Edition
Springer
€117.69
Article exhausted; check different version
Content
A Brownian Motion of Financial Markets * Contingent Claim Valuation in a Complete Market * Single-Agent Consumption and Investment * Equilibrium in a Complete Market * Contingent Claims in Incomplete Markets * Constrained Consumption and Investment