Research Catalog

Lectures on the mathematics of finance

Title: Lectures on the mathematics of finance / Ioannis Karatzas.
Author: Karatzas, Ioannis.
Publication: Providence, R.I. : American Mathematical Society, [1997], ©1997.

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Status	Format	Access	Call Number	Item Location
Request for On-site Use Request Scan How do I pick up this item and when will it be ready?	Text	Request in advance	HF5691 .K338 1997	Off-site

Description

xii, 148 pages; 26 cm.

Summary

In this text, the author discusses the main aspects of mathematical finance. These include arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested.
This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

Series Statement

CRM monograph series ; v. 8

Uniform Title

CRM monograph series ; v. 8.

Subject

Bibliography (note)

ISBN

0821806378 (alk. paper)

LCCN

96027511

OCLC

Owning Institutions

Columbia University Libraries