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Titre :
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Methods of mathematical finance
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Auteurs :
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I. Karatzas ;
S. Shreve
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Type de document :
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ouvrage
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Editeur :
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London [GB] : Springer, 1998
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Collection :
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Stochastic Modelling and Applied Probability (DEU), ISSN 0172-4568
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ISBN/ISSN/EAN :
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978-0-387-94839-3
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Format :
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407 p.
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Note générale :
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bibl.
Diffusion tous publics
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Langues:
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= Anglais
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Catégories :
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SPI - SCIENCES PHYSIQUES DE L'INGENIEUR
SPI3 - MATHEMATIQUE - STATISTIQUES
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Mots-clés:
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PROCESSUS STOCHASTIQUE
;
MATHEMATIQUES
;
PRIX
;
MARCHE
;
INVESTISSEMENT
;
CONSOMMATION
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Résumé :
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Within the context of Brownian-motion-driven asset prices, this book develops contingent claim pricing and optimal consumption-investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Altough much of the incomplete-market material is available in reserach papers, these topics are treatned for the first time in a unifed manner. The book contains an extensive set of references and notes describing the fields, including topics not treated in the text.
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