Methods of mathematical finance:
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
New York
Springer
1998
|
| Schriftenreihe: | Applications of mathematics
39 |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007790061&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XV, 415 S. |
| ISBN: | 0387948392 |
Internformat
MARC
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| 100 | 1 | |a Karatzas, Ioannis |d 1952- |e Verfasser |0 (DE-588)140840346 |4 aut | |
| 245 | 1 | 0 | |a Methods of mathematical finance |c Ioannis Karatzas ; Steven E. Shreve |
| 264 | 1 | |a New York |b Springer |c 1998 | |
| 300 | |a XV, 415 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Applications of mathematics |v 39 | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Business mathematics | |
| 650 | 4 | |a Finance -- Mathematical models | |
| 650 | 4 | |a Brownian motion processes | |
| 650 | 4 | |a Contingent valuation | |
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Datensatz im Suchindex
| DE-BY-TUM_call_number | 0102 WIR 170f 2001 A 20227 0102 MAT 902f 2001 A 18935 1001 04.2004 A 4219 |
|---|---|
| DE-BY-TUM_katkey | 979938 |
| DE-BY-TUM_location | 01 Mag |
| DE-BY-TUM_media_number | 040020229607 040020248917 040050314524 |
| _version_ | 1821931280574447616 |
| adam_text | Contents
Preface
vu
1
A Brownian
Model of Financial Markets
1
1.1
Stocks and a Money Market
................. 1
1.2
Portfolio and Gains Processes
................ 6
1.3
Income and Wealth Processes
................ 10
1.4
Arbitrage and Market Viability
............... 11
1.5
Standard Financial Markets
................. 16
1.6
Completeness of Financial Markets
............. 21
1.7
Financial Markets with an Infinite Planning Horizon
... 27
1.8
Notes
.............................. 31
2
Contingent Claim Valuation in a Complete Market
36
2.1
Introduction
.......................... 36
2.2
European Contingent Claims
................. 39
2.3
Forward and Futures Contracts
............... 43
2.4
European Options in a Constant-Coefficient Market
... 47
2.5
American Contingent Claims
................. 54
2.6
The American Call Option
.................. 60
2.7
The American Put Option
.................. 67
2.8
Notes
.............................. 80
3
Single-Agent Consumption and Investment
88
3.1
Introduction
.......................... 88
3.2
The Financial Market
..................... 90
xiv Contents
3.3
Consumption and Portfolio Processes
............ 91
3.4
Utility Functions
........................ 94
3.5
The Optimization Problems
................. 97
3.6
Utility from Consumption and Terminal Wealth
...... 101
3.7
Utility from Consumption or Terminal Wealth
.......
Ill
3.8
Deterministic Coefficients
................... 118
3.9
Consumption and Investment on an Infinite Horizon
. . . 136
3.10
Maximization of the Growth Rate of Wealth
........ 150
3.11
Notes
.............................. 153
4
Equilibrium in a Complete Market
159
4.1
Introduction
.......................... 159
4.2
Agents, Endowments, and Utility Functions
........ 161
4.3
The Financial Market: Consumption and Portfolio
Processes
............................ 163
4.4
The Individual Optimization Problems
........... 167
4.5
Equilibrium and the Representative Agent
......... 170
4.6
Existence and Uniqueness of Equilibrium
.......... 178
4.7
Examples
............................ 189
4.8
Notes
.............................. 196
5
Contingent Claims in Incomplete Markets
199
5.1
Introduction
.......................... 199
5.2
The Model
........................... 201
5.3
Upper Hedging Price
..................... 204
5.4
Convex Sets and Support Functions
............. 205
5.5
A Family of Auxiliary Markets
................ 208
5.6
The Main Hedging Result
................... 211
5.7
Upper Hedging with Constant Coefficients
......... 220
5.8
Optimal Dual Processes
.................... 225
5.9
Lower Hedging Price
...................... 238
5.10
Lower Hedging with Constant Coefficients
......... 254
5.11
Notes
.............................. 257
6
Constrained Consumption and Investment
260
6.1
Introduction
.......................... 260
6.2
Utility Maximization with Constraints
........... 261
6.3
A Family of Unconstrained Problems
............ 266
6.4
Equivalent Optimality Conditions
.............. 275
6.5
Duality and Existence
..................... 284
6.6
Deterministic Coefficients, Cone Constraints
........ 291
6.7
Incomplete Markets
...................... 302
6.8
Higher Interest Rate for Borrowing Than for Investing
. . 310
6.9
Notes
.............................. 318
Contents xv
Appendix
A. Essential
Supremum
of a Eamily of Random Variables
323
Appendix B. On the Model of Section
1.1 327
Appendix C. On Theorem
6.4.1 335
Appendix D. Optimal Stopping for Continuous-Parameter Processes
349
Appendix E. The Clark Formula
363
References
371
Symbol Index
403
Index
411
|
| any_adam_object | 1 |
| author | Karatzas, Ioannis 1952- Shreve, Steven E. |
| author_GND | (DE-588)140840346 (DE-588)140840451 |
| author_facet | Karatzas, Ioannis 1952- Shreve, Steven E. |
| author_role | aut aut |
| author_sort | Karatzas, Ioannis 1952- |
| author_variant | i k ik s e s se ses |
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| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 650 - Management and auxiliary services |
| dewey-raw | 650/.01/513 21 |
| dewey-search | 650/.01/513 21 |
| dewey-sort | 3650 11 3513 221 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV011570053 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T10:14:52Z |
| institution | BVB |
| isbn | 0387948392 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007790061 |
| oclc_num | 54862009 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-824 DE-N2 DE-91G DE-BY-TUM DE-739 DE-384 DE-19 DE-BY-UBM DE-20 DE-703 DE-92 DE-M49 DE-BY-TUM DE-29T DE-521 DE-523 DE-83 DE-11 DE-188 DE-634 |
| owner_facet | DE-355 DE-BY-UBR DE-824 DE-N2 DE-91G DE-BY-TUM DE-739 DE-384 DE-19 DE-BY-UBM DE-20 DE-703 DE-92 DE-M49 DE-BY-TUM DE-29T DE-521 DE-523 DE-83 DE-11 DE-188 DE-634 |
| physical | XV, 415 S. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Springer |
| record_format | marc |
| series | Applications of mathematics |
| series2 | Applications of mathematics |
| spellingShingle | Karatzas, Ioannis 1952- Shreve, Steven E. Methods of mathematical finance Applications of mathematics Mathematisches Modell Business mathematics Finance -- Mathematical models Brownian motion processes Contingent valuation Kontingenztheorie (DE-588)4247907-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| subject_GND | (DE-588)4247907-1 (DE-588)4017195-4 (DE-588)4114528-8 (DE-588)4057630-9 |
| title | Methods of mathematical finance |
| title_auth | Methods of mathematical finance |
| title_exact_search | Methods of mathematical finance |
| title_full | Methods of mathematical finance Ioannis Karatzas ; Steven E. Shreve |
| title_fullStr | Methods of mathematical finance Ioannis Karatzas ; Steven E. Shreve |
| title_full_unstemmed | Methods of mathematical finance Ioannis Karatzas ; Steven E. Shreve |
| title_short | Methods of mathematical finance |
| title_sort | methods of mathematical finance |
| topic | Mathematisches Modell Business mathematics Finance -- Mathematical models Brownian motion processes Contingent valuation Kontingenztheorie (DE-588)4247907-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| topic_facet | Mathematisches Modell Business mathematics Finance -- Mathematical models Brownian motion processes Contingent valuation Kontingenztheorie Finanzmathematik Stochastischer Prozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007790061&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000895226 |
| work_keys_str_mv | AT karatzasioannis methodsofmathematicalfinance AT shrevestevene methodsofmathematicalfinance |
Inhaltsverzeichnis
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Teilbibliothek Mathematik & Informatik
| Signatur: |
0102 MAT 902f 2001 A 18935 Lageplan 0102 WIR 170f 2001 A 20227 Lageplan |
|---|---|
| Exemplar 1 | Ausleihbar Am Standort |
| Exemplar 2 | Ausleihbar Am Standort |
Bibliotheksmagazin
| Signatur: |
1001 04.2004 A 4219 Lageplan |
|---|---|
| Exemplar 1 | Ausleihbar Am Standort |