Financial Markets in Continuous Time 2024 pdf epub mobi 电子书

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发表于2024-12-27

Financial Markets in Continuous Time 2024 pdf epub mobi 电子书

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出版者:Springer

作者:Rose-Anne Dana

出品人:

页数:330

译者:

出版时间:2003-01-17

价格:USD 89.95

装帧:Hardcover

isbn号码:9783540434030

丛书系列:

图书标签: Finance Continuous 英文原版未电 in Time Stochastic Markets

Financial Markets in Continuous Time 2024 pdf epub mobi 电子书图书描述

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.

Financial Markets in Continuous Time 2024 pdf epub mobi 电子书

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