Research Catalog
Methods of mathematical finance
- Title
- Methods of mathematical finance / Ioannis Karatzas, Steven E. Shreve.
- Author
- Karatzas, Ioannis.
- Publication
- New York : Springer, 1998.
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1 Item
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HF5691 .K3382 1998 | Off-site |
Holdings
Details
- Additional Authors
- Shreve, Steven E.
- Description
- xv, 415 pages; 24 cm.
- Summary
- This book 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.
- Series Statement
- Applications of mathematics ; 39
- Uniform Title
- Applications of mathematics ; 39.
- Subjects
- Bibliography (note)
- Includes bibliographical references (p. [371]-402) and index.
- Contents
- 1. A Brownian Model of Financial Markets -- 2. Contingent Claim Valuation in a Complete Market -- 3. Single-Agent Consumption and Investment -- 4. Equilibrium in a Complete Market -- 5. Contingent Claims in Incomplete Markets -- 6. Constrained Consumption and Investment -- App. A. Essential Supremum of a Family of Random Variables -- App. B. On the Model of Section 1.1 -- App. C. On Theorem 6.4.1 -- App. D. Optimal Stopping for Continuous-Parameter Processes -- App. E. The Clark Formula.
- ISBN
- 0387948392 (alk. paper)
- LCCN
- 98014284
- OCLC
- 38536026
- ocm38536026
- Owning Institutions
- Columbia University Libraries