Financial Markets in Continuous Time

by Monique Jeanblanc-Picque and Rose-Anne Dana

Book Overview

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in 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...

• Format: Paperback
• Language: English
• ISBN: 354071149X
• ISBN13: 9783540711490
• Release Date: July 2007
• Publisher: Springer
• Length: 324 Pages
• Weight: 1.08 lbs.
• Dimensions: 0.8" x 7.2" x 9.2"

Customer Reviews

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.