Verfügbarkeit: Methods of Mathematical Finance | Technische Universität München

Methods of Mathematical Finance:

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Bibliographische Detailangaben
Beteiligte Personen:	Karatzas, Ioannis 1952- (VerfasserIn), Shreve, Steven E. (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	New York Springer New York [2016]
Ausgabe:	Corrected 4th printing
Schriftenreihe:	Probability Theory and Stochastic Modelling 39
Schlagwörter:	Kontingenztheorie Finanzmathematik Stochastischer Prozess Mathematisches Modell KF Brownian motion Stochastic calculus agents equilibrium finance incomplete markets mathematical finance mathematics valuation
Links:	http://www.springer.com/ http://deposit.dnb.de/cgi-bin/dokserv?id=e53c102abbff469bbdcbbf04f1544a6f&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029725292&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	xv, 415 Seiten Illustrationen 23.5 cm x 15.5 cm, 0 g
ISBN:	9781493968145 1493968149

Internformat

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Datensatz im Suchindex

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adam_text	Contents Preface vii 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 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 Family 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 3T1 Symbol Index 403 Index 411
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author	Karatzas, Ioannis 1952- Shreve, Steven E.
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author_facet	Karatzas, Ioannis 1952- Shreve, Steven E.
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discipline	Wirtschaftswissenschaften
edition	Corrected 4th printing
format	Book
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spellingShingle	Karatzas, Ioannis 1952- Shreve, Steven E. Methods of Mathematical Finance Probability Theory and Stochastic Modelling Kontingenztheorie (DE-588)4247907-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd
subject_GND	(DE-588)4247907-1 (DE-588)4017195-4 (DE-588)4057630-9 (DE-588)4114528-8
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 Shreve
title_fullStr	Methods of Mathematical Finance Ioannis Karatzas, Steven Shreve
title_full_unstemmed	Methods of Mathematical Finance Ioannis Karatzas, Steven Shreve
title_short	Methods of Mathematical Finance
title_sort	methods of mathematical finance
topic	Kontingenztheorie (DE-588)4247907-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd
topic_facet	Kontingenztheorie Finanzmathematik Stochastischer Prozess Mathematisches Modell
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work_keys_str_mv	AT karatzasioannis methodsofmathematicalfinance AT shrevestevene methodsofmathematicalfinance

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