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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Methods of Mathematical Finance

Methods of Mathematical Finance

Shreve, Steven
Karatzas, Ioannis

Hardcover

Series: Probability Theory and Stochastic Modelling, Book 39

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 1493968149
ISBN13: 9781493968145
Publisher: Springer
Published: Dec 30 2016
Pages: 415
Weight: 1.71
Height: 0.94 Width: 6.14 Depth: 9.21
Language: English

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 agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the text.

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