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Financial Markets in Continuous Time
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Binding: Hardcover
Dewey Decimal Number: 332.0151955
EAN: 9783540434030
Edition: 1
ISBN: 3540434038
Label: Springer
Manufacturer: Springer
Number Of Items: 1
Number Of Pages: 330
Publication Date: January 17, 2003
Publisher: Springer
Studio: Springer
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Editorial Review:
In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has 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 general equilibrium theory, and applies this in financial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.
Customer Reviews
Average Rating: 
Rating: - Very good and clear, but tough topic
Financial Markets in Continuous Time is a welcome update of Merton on the same space, but with a few advances and a bit more rigor, and some updated notation that adds to clarity.
For those old coots like me who have already had to go through Merton, there is only marginal additional clarity and advances. But for young folks just starting out read this first and then go back to "the classics" i.e. Merton, Shimko, Shreve and Bjork. Stephen Schaefer can be skipped.
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