Item description for Financial Markets in Continuous Time (Springer Finance) by A. Kennedy Rose-Anne Dana...
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.
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Est. Packaging Dimensions: Length: 9.21" Width: 6.14" Height: 0.79" Weight: 1.15 lbs.
Release Date Sep 10, 2007
ISBN 354071149X ISBN13 9783540711490
Availability 139 units. Availability accurate as of Oct 23, 2016 04:07.
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Reviews - What do customers think about Financial Markets in Continuous Time (Springer Finance)?
Very good and clear, but tough topic Nov 21, 2007
Financial Markets in Continuous Time is a welcome update of Merton on the same space, but with a few advances and a bit more rigor, and some updated notation that adds to clarity.
For those old coots like me who have already had to go through Merton, there is only marginal additional clarity and advances. But for young folks just starting out read this first and then go back to "the classics" i.e. Merton, Shimko, Shreve and Bjork. Stephen Schaefer can be skipped.