Full Product Details
Author: Ioannis Karatzas ,
Steven E. Shreve
Publisher: Springer-Verlag New York Inc.
Imprint: Springer-Verlag New York Inc.
Edition: Softcover reprint of the original 1st ed. 1998
Volume: 39
Dimensions:
Width: 15.60cm
, Height: 2.20cm
, Length: 23.40cm
Weight: 0.664kg
ISBN: 9781441928528
ISBN 10: 1441928529
Pages: 431
Publication Date: 15 February 2015
Audience:
Professional and scholarly
,
Professional and scholarly
,
Professional & Vocational
,
Professional & Vocational
Format: Paperback
Publisher's Status: Out of Print
Availability: Out of print, replaced by POD
We will order this item for you from a manufatured on demand supplier.
Reviews
The book under review deals with the applications of stochastic analysis and optimal control theory to various problems arising in modern mathematical finance. In contrast to several other books on mathematical finance which appeared in recent years, this book deals not only with the so-called partial equilibrium approach (i.e., the arbitrage pricing of European and American contingent claims) but also with the general equilibrium approach (i.e., with the equilibrium specification of prices of primary assets). A major part of the book is devoted to solving valuation and portfolio optimization problems under market imperfections, such as market incompleteness and portfolio constraints. ... Undoubtedly, the book constitutes a valuable research-level text which should be consulted by anyone interested in the area. Unlike other currently available monographs, it provides an exhaustive and up-to-date treatment of portfolio optimization and valuation problems under constraints. It is also quite suitable as a textbook for an advanced course on mathematical finance. (Marek RutKowski, Mathematical Reviews)
""The book under review deals with the applications of stochastic analysis and optimal control theory to various problems arising in modern mathematical finance. In contrast to several other books on mathematical finance which appeared in recent years, this book deals not only with the so-called partial equilibrium approach (i.e., the arbitrage pricing of European and American contingent claims) but also with the general equilibrium approach (i.e., with the equilibrium specification of prices of primary assets). A major part of the book is devoted to solving valuation and portfolio optimization problems under market imperfections, such as market incompleteness and portfolio constraints. ... Undoubtedly, the book constitutes a valuable research-level text which should be consulted by anyone interested in the area. Unlike other currently available monographs, it provides an exhaustive and up-to-date treatment of portfolio optimization and valuation problems under constraints. It is also quite suitable as a textbook for an advanced course on mathematical finance."" (Marek RutKowski, Mathematical Reviews)
