Methods of Mathematical Finance (Probability Theory and Stochastic Modelling)
| Author | : | |
| Rating | : | 4.90 (650 Votes) |
| Asin | : | B01NCUG1P7 |
| Format Type | : | |
| Number of Pages | : | 599 Pages |
| Publish Date | : | 2014-12-02 |
| Language | : | English |
DESCRIPTION:
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.. The latter
C. Ang said Only for the most mathematically inclined. This is the most mathematically rigorous treatment of asset pricing that is available. That's why this gets Only for the most mathematically inclined C. Ang This is the most mathematically rigorous treatment of asset pricing that is available. That's why this gets 4 stars. But this book is certainly not for everyone, which is why the 1 star is left out.I am not kidding when I say this book is only for the most mathematically inclined. I have read many texts that require a decent amount of mathematics and I have already encountered the concepts that are discussed in this book, and I still found it quite a challenging read. In my opinion, you need to have a good grasp of probability and random processes to enjoy this book. For those who would like a lighter read, I suggest looking into Coch. stars. But this book is certainly not for everyone, which is why the 1 star is left out.I am not kidding when I say this book is only for the most mathematically inclined. I have read many texts that require a decent amount of mathematics and I have already encountered the concepts that are discussed in this book, and I still found it quite a challenging read. In my opinion, you need to have a good grasp of probability and random processes to enjoy this book. For those who would like a lighter read, I suggest looking into Coch. The acme of rigorous mathfin, not for the faint hearted For those working in higher levels of pure mathematics or physics Ioannis Karatzas's and Steven E. Shreve's Methods of Mathematical Finance will be the most accessible for helping you understand what all the fuss is about in finance and Wall Street. From the groves of academe, finance as it is practiced looks like so much "nonsense on stilts." However, serious intellectual work has been done examining finance and transactions under limits, spaces, stochastic paths and operators, and this work is the most rigorous explication of the foundations of this thinking, and its most natural extensions and applications.This work is explicitly n. Dr. Lee D. Carlson said One of the best. The application of highly sophisticated mathematical techniques to finance is now commonplace and is considered also of great practical importance. Mathematical modeling in finance is now very entrenched in investment houses and trading firms and this will only increase in years to come. This book is an excellent overview of mathematical finance and is written for mathematicians who have no background in finance. The book could be read easily by anyone with background in stochastic processes at the level of the author's earlier book "Brownian Motion and Stochastic Calculus". Since it is written for mathematicians, it follows a "defini
A major part of the book is devoted to solving valuation and portfolio optimization problems under market imperfections, such as market incompleteness and portfolio constraints. Unlike other currently available monographs, it provides an exhaustive and up-to-date treatment of portfolio optimization and valuation problems under constraints. In contrast to several other books on mathematical finance which appeared in recent years, this book deals not only with the so-called partial equilibrium approach (i.e., the arbitrage pricing of European and American contingent claims) but also with the general equilibrium approach (i.e., with the equilibrium specification of prices of primary assets). Undoubtedly, the book constitutes a valuable research-level text which should be consulted by