Methods of Mathematical Finance

by Ioannis Karatzas and Steven E. Shreve

Book Overview

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

• 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"