Methods of Mathematical Finance

by Ioannis Karatzas and Steven E. Shreve

Book Overview

This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to the study of complete market equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous...

• Format: Hardcover
• Language: English
• ISBN: 1493968149
• ISBN13: 9781493968145
• Release Date: December 2016
• Publisher: Springer
• Length: 415 Pages
• Weight: 1.71 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"