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Methods of Mathematical Finance (Stochastic Modelling and Applied Probability)

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Description:This monograph is a sequel to 'Brownian Motion and Stochastic Calculus' by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the 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 decribing the field, including topics not treated in the text.This monograph should 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Methods of Mathematical Finance (Stochastic Modelling and Applied Probability). To get started finding Methods of Mathematical Finance (Stochastic Modelling and Applied Probability), you are right to find our website which has a comprehensive collection of manuals listed.
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ISBN: 0387948392

Description: This monograph is a sequel to 'Brownian Motion and Stochastic Calculus' by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the 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 decribing the field, including topics not treated in the text.This monograph should 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Methods of Mathematical Finance (Stochastic Modelling and Applied Probability). To get started finding Methods of Mathematical Finance (Stochastic Modelling and Applied Probability), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Methods of Mathematical Finance (Stochastic Modelling and Applied Probability)

Methods of Mathematical Finance (Stochastic Modelling and Applied Probability)

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