Methods of mathematical finance
By: Ioannis Karatzas, Steven E. Shreve.
Contributors: Shreve, Steven E.
Series: Applications of mathematics ;; 39
Publisher: Springer
Published: 1998
Place of publication: New York
Language: eng
Number of pages: 407
Subjects: Business mathematics; Finance -- Mathematical models; Brownian motion processes; Contingent valuation
Description: This book should be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Notes: Includes bibliographical references ([371]-402) and index.