Lectures on the mathematics of finance / Ioannis Karatzas.

Format:

Book

Author/Creator:

Karatzas, Ioannis, author.

Series:

CRM monograph series ; Volume 8.

CRM Monograph Series ; Volume 8

Language:

English

Subjects (All):

Business mathematics.

Physical Description:

1 online resource (150 pages) : illustrations.

Place of Publication:

Providence, Rhode Island : American Mathematical Society, 1997.

Summary:

In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

Notes:

Includes bibliographical references.

Description based on print version record.

ISBN:

1-4704-3854-2