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Field name	Details
Dewey Class	519 519
Title	Financial Markets in Continuous Time ([EBook]) / by Rose-Anne Dana, Monique Jeanblanc.
Author	Dana, Rose-Anne
Added Personal Name	Jeanblanc, Monique
Other name(s)	SpringerLink (Online service)
Edition statement	Corrected Second Printing
Publication	Berlin, Heidelberg : Springer , 2007
Physical Details	XII, 324 pages : online resource.
Series	Springer finance
ISBN	9783540711506
Summary Note	1. The Discrete Case -- 2. Dynamic Models in Discrete Time -- 3. The Black-Scholes Formula -- 4. Portfolios Optimizing Wealth and Consumption -- 5. The Yield Curve -- 6. Equilibrium of Financial Markets in Discrete Time -- 7. Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case -- 8. Incomplete Markets -- 9. Exotic Options -- A. Brownian Motion -- B. Numerical Methods.: In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic 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 stochastic 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.:
Contents note	The Discrete Case -- Dynamic Models in Discrete Time -- The Black-Scholes Formula -- Portfolios Optimizing Wealth and Consumption -- The Yield Curve -- Equilibrium of Financial Markets in Discrete Time -- Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case -- Incomplete Markets -- Exotic Options.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-540-71150-6
Links to Related Works	Subject References: Distribution (Probability theory) . Economics, Mathematical. -- Finance . Options (Finance) . Probabilities . Quantitative Finance. -- Probability Theory and Stochastic Processes . Authors: author . Dana, Rose-Anne . Jeanblanc, Monique . Corporate Authors: SpringerLink (Online service) . Series: Springer finance . Classification: 519 . 519 519 .

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Financial Markets in Continuous Time

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