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Financial markets in continuous time

dc.contributor.authorJeanblanc, Monique
dc.contributor.authorDana, Rose-Anne
HAL ID: 12658
dc.date.accessioned2011-01-04T16:18:08Z
dc.date.available2011-01-04T16:18:08Z
dc.date.issued2007
dc.identifier.isbn978-3-540-71149-0en
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5374
dc.language.isoenen
dc.subjectMarchés financiersen
dc.subjectEquilibreen
dc.subjectGestion de portefeuilleen
dc.subjectdiscrete-time modelsen
dc.subjectstochasticen
dc.subjectfinancial assetsen
dc.subjectBlack-Scholes formulaen
dc.subjectfinancial marketsen
dc.subject.ddc519en
dc.subject.classificationjelC3en
dc.subject.classificationjelC4en
dc.subject.classificationjelC7en
dc.subject.classificationjelC5en
dc.subject.classificationjelG1en
dc.subject.classificationjelC2en
dc.subject.classificationjelC1en
dc.titleFinancial markets in continuous timeen
dc.typeOuvrage
dc.description.abstractenThis 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.en
dc.publisher.nameSpringeren
dc.publisher.cityBerlinen
dc.identifier.citationpages326en
dc.relation.ispartofseriestitleSpringer Financeen
dc.relation.isversionofbkurlhttp://dx.doi.org/10.1007/978-3-540-71150-6
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2007


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