Financial Markets in Continuous Time

Front Cover
Springer Science & Business Media, Jan 17, 2003 - Business & Economics - 324 pages
0 Reviews
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.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

I
1
IV
2
V
4
VI
5
VII
6
VIII
8
IX
11
X
12
LXXXIII
172
LXXXIV
176
LXXXV
178
LXXXVII
180
LXXXVIII
183
LXXXIX
184
XC
189
XCI
190

XI
18
XIII
19
XIV
22
XV
23
XVI
28
XVII
29
XVIII
31
XIX
35
XX
41
XXI
42
XXII
43
XXIII
44
XXIV
47
XXV
51
XXVI
52
XXVII
53
XXVIII
54
XXIX
55
XXX
57
XXXI
58
XXXII
62
XXXIII
66
XXXIV
71
XXXV
79
XXXVII
80
XXXVIII
82
XXXIX
83
XL
85
XLI
86
XLII
87
XLIII
88
XLIV
90
XLV
92
XLVI
93
XLVII
94
XLVIII
98
XLIX
99
L
101
LI
105
LIII
106
LIV
107
LV
109
LVI
110
LVII
111
LVIII
112
LIX
125
LXI
128
LXIII
129
LXIV
134
LXV
135
LXVI
139
LXVII
140
LXVIII
142
LXIX
143
LXX
145
LXXI
146
LXXII
147
LXXIII
148
LXXIV
149
LXXV
157
LXXVII
162
LXXIX
164
LXXX
169
LXXXII
170
XCII
192
XCIII
194
XCV
195
XCVI
198
XCVII
199
XCVIII
201
XCIX
203
C
205
CI
208
CII
217
CIV
218
CV
219
CVI
220
CVII
222
CVIII
224
CX
226
CXI
228
CXIII
230
CXIV
231
CXV
232
CXVI
237
CXIX
239
CXX
240
CXXI
242
CXXII
243
CXXIV
245
CXXVII
248
CXXVIII
249
CXXIX
250
CXXXI
251
CXXXII
252
CXXXV
254
CXXXVI
255
CXXXVII
256
CXL
257
CXLII
260
CXLIV
262
CXLV
264
CXLVI
267
CXLVII
268
CXLVIII
270
CL
271
CLI
273
CLII
274
CLIV
277
CLV
278
CLVI
281
CLVII
283
CLVIII
285
CLIX
286
CLX
287
CLXI
288
CLXII
289
CLXIII
290
CLXVI
291
CLXVII
292
CLXIX
293
CLXXI
294
CLXXII
295
CLXXIV
297
CLXXV
299
CLXXVI
321
Copyright

Other editions - View all

Common terms and phrases

References to this book

All Book Search results »

Bibliographic information