Financial markets in continuous time
Jeanblanc, Monique; Dana, Rose-Anne (2007), Financial markets in continuous time, Springer : Berlin, p. 326. http://dx.doi.org/10.1007/978-3-540-71150-6
Series titleSpringer Finance
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Abstract (EN)This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in 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 equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.
Subjects / KeywordsMarchés financiers; Equilibre; Gestion de portefeuille; discrete-time models; stochastic; financial assets; Black-Scholes formula; financial markets
JELC3 - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Econometric and Statistical Methods: Special Topics
C7 - Game Theory and Bargaining Theory
C5 - Econometric Modeling
G1 - General Financial Markets
C2 - Single Equation Models; Single Variables
C1 - Econometric and Statistical Methods and Methodology: General
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