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Author Karatzas, Ioannis.

Title Methods of mathematical finance / Ioannis Karatzas, Steven E. Shreve.

Published New York ; London : Springer, 1998.


Location Call No. Status
 UniM ERC  332.6420151 KARA    AVAILABLE
Physical description xv,407 p. : ill. ; 25 cm.
Series Applications of mathematics : stochastic modelling and applied probability ; 39
Applications of mathematics ; 39.
Bibliography Bibliography: p371-402. - Includes index.
Contents 1. A Brownian Model of Financial Markets -- 2. Contingent Claim Valuation in a Complete Market -- 3. Single-Agent Consumption and Investment -- 4. Equilibrium in a Complete Market -- 5. Contingent Claims in Incomplete Markets -- 6. Constrained Consumption and Investment -- App. A. Essential Supremum of a Family of Random Variables -- App. B. On the Model of Section 1.1 -- App. C. On Theorem 6.4.1 -- App. D. Optimal Stopping for Continuous-Parameter Processes -- App. E. The Clark Formula.
Summary 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.
Other author Shreve, Steven E.
Subject Business mathematics.
Finance -- Mathematical models.
Brownian motion processes.
Contingent valuation.
ISBN 0387948392 : No price