TY  - GEN
AU  - Dana, Rose-Anne
AU  - Jeanblanc, Monique
TI  - Financial Markets in Continuous Time
SN  - 9783540434030
U1  - 332.0151955 DAN 
PY  - 2002///
CY  - New York 
PB  - Springer
KW  - Options (Finance)--Mathematical models
KW  - Equilibrium (Economics)-Mathematical models
N2  - 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
ER  -