Financial Markets in Continuous Time (Record no. 47373)

MARC details
000 -LEADER
fixed length control field 01627 a2200181 4500
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9783540434030
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.0151955 DAN
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Dana, Rose-Anne
245 ## - TITLE STATEMENT
Title Financial Markets in Continuous Time
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Name of publisher, distributor, etc Springer
Place of publication, distribution, etc New York
Date of publication, distribution, etc 2002
300 ## - PHYSICAL DESCRIPTION
Extent 324
440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE
Title Springer Finance
520 ## - SUMMARY, ETC.
Summary, etc In modern financial practice, asset prices are modelled by means of shastic processes, and continuous-time shastic 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 shastic 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.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Options (Finance)--Mathematical models
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Equilibrium (Economics)-Mathematical models
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Jeanblanc, Monique
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Book
Source of classification or shelving scheme Dewey Decimal Classification

No items available.