Methods of Mathematical Finance
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 the s...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
New York, NY
Springer New York
1998, 1998
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| Edition: | 1st ed. 1998 |
| Series: | Stochastic Modelling and Applied Probability
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| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- A Brownian Model 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