02691nmm a2200337 u 4500001001200000003002700012005001700039007002400056008004100080020001800121100002200139245009700161250001700258260004800275300004100323505025700364653002500621653003000646653006400676653002000740653004800760653001800808700002900826710003400855041001900889989003800908490004800946856007200994082000801066520127901074EB001884217EBX0100000000000000104758400000000000000.0cr|||||||||||||||||||||191115 ||| eng a97814939684591 aKaratzas, Ioannis00aMethods of Mathematical FinancehElektronische Ressourcecby Ioannis Karatzas, Steven Shreve a1st ed. 1998 aNew York, NYbSpringer New Yorkc1998, 1998 aXV, 415 p. 20 illusbonline resource0 aA 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 aQuantitative Finance aEconomics, Mathematical aEconomic Theory/Quantitative Economics/Mathematical Methods aEconomic theory aProbability Theory and Stochastic Processes aProbabilities1 aShreve, Stevene[author]2 aSpringerLink (Online service)07aeng2ISO 639-2 bSBAaSpringer Book Archives -20040 aProbability Theory and Stochastic Modelling uhttps://doi.org/10.1007/978-1-4939-6845-9?nosfx=yxVerlag3Volltext0 a519 aThis 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 study of complete market 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 describing 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. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.