Pricing in (In)complete Markets: Structural Analysis and Applications
Edition: 1 edition
Publisher: Springer
Published: March 5, 2004
Language: eng
Format: Paperback
Number of pages: 122
ISBN-13: 9783540208174
Subjects: Microeconomics; Business & Economics; Business / Economics / Finance; Business/Economics; Finance; Investments & Securities - Futures; Probability & Statistics - General; Business & Economics / Finance; Business & Economics : Investments & Securities - Futures; Incomplete Markets; Martingale Pricing; Mathematics : Probability & Statistics - General; Power Options; Stochastic Liquidity; Stochastic Volatility; Economics - General; Derivative securities; Liquidity (Economics); Mathematical models; Prices
First sentence: The entirely theoretical work presented focuses on structural concepts of no-arbitrage pricing of contingent claims and on modeling aspects of asset price dynamics that are affected by stochastic liquidity.
Notes: Lecture Notes in Economics and Mathematical Systems