Financial Markets in Continuous Time
Publication year: 2007
ISBN: 978-3-540-71150-6
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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.
Subject: Mathematics and Statistics, YellowSale2006, complete and incomplete markets, equilibrium investment, equilibrium, investment, optimisation of consumption, pricing, Black-Scholes, Brownian motion, calculus
