杭州电子科技大学图书馆书目检索系统

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题名/责任者:

Financial markets in continuous time / Rose-Anne Dana.

版本说明:

1st ed. 2003. Corr. 2nd printing ed.

出版发行项:

[S.l.] : Springer, 2007.

ISBN:

354071149X

载体形态项:

326 p. ; 24 cm.

丛编题名:

Springer finance.

个人责任者:

Dana, Rose-Anne.

附加个人名称:

Jeanblanc, Monique.

附加个人名称:

Kennedy, A.

论题主题:

Economics, Finance, Business and Industry.

论题主题:

Probability & statistics.

论题主题:

Business & Economics.

论题主题:

Business / Economics / Finance.

论题主题:

Business/Economics.

论题主题:

Economics - General.

论题主题:

Finance.

论题主题:

Business & Economics / Finance.

论题主题:

complete and incomplete markets.

论题主题:

equilibrium.

论题主题:

investment.

论题主题:

optimisation of consumption.

论题主题:

pricing.

论题主题:

Probability & Statistics - General.

中图法分类号:

F830.9

一般附注:

Paperback.

摘要附注:

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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