The Economics of Continuous–Time Finance (The MIT Press) - Image 1

£66.32

MIT Press The Economics of Continuous–Time Finance (The MIT Press)

Name: The Economics of Continuous-Time Finance (The MIT Press)
Brand: MIT Press
Price: 54.55 GBP
Availability: InStock

Multicolor

Economics

Price History & Forecast

Last 53 days • 53 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 53 days • 9 price levels

Days at Price

Current Price

Price Analysis

Most common price: £74 (15 days, 28.3%)

Price range: £53 - £75

Price levels: 9 different prices over 53 days

Description

An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets―characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.

Product Specifications

Brand: MIT Press
Colour: Multicolor
Format: hardcover
ASIN: 0262036541
Category: Books > Subjects > Business, Finance & Law > Economics
Domain: Amazon UK
Release Date: 24 November 2017
Listed Since: 06 March 2017

Barcode

No barcode data available

MIT Press The Economics of Continuous–Time Finance (The MIT Press)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Stochastic Finance: An Introduction in Discrete Time (De Gruyter Textbook)

Continuous Stochastic Calculus with Applications to Finance

Economic Dynamics in Discrete Time (The MIT Press)

The Econometrics of Financial Markets

Quantitative Finance: An Introduction to Investments, Asset Pricing, and Derivatives

Financial Mathematics: From Discrete to Continuous Time (Chapman and Hall/CRC Financial Mathematics Series)

Asset Pricing: Modeling and Estimation (Springer Finance)

Mathematical Finance: Core Theory, Problems and Statistical Algorithms (Routledge Advanced Texts in Economics and Finance)

An Introduction to Mathematical Finance with Applications: Understanding and Building Financial Intuition (Springer Undergraduate Texts in Mathematics and Technology)

Continuous Stochastic Calculus with Applications to Finance: 17 (Applied Mathematics)

Deterministic And Stochastic Topics In Computational Finance

Time-Inconsistent Control Theory with Finance Applications (Springer Finance)

Mathematical Finance: Theory, Modeling, Implementation

Time-Inconsistent Control Theory with Finance Applications (Springer Finance)

An Outline of Financial Economics (Anthem Finance)

Stochastic Finance: An Introduction with Examples

Continuous Time Processes for Finance: Switching, Self-exciting, Fractional and other Recent Dynamics: 12 (Bocconi & Springer Series, 12)

Markets with Transaction Costs: Mathematical Theory (Springer Finance)

Options Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics)

Springer Applied Stochastic Models and Control for Finance

Financial Markets Theory: Equilibrium, Efficiency and Information (Springer Finance)

Introduction to Stochastic Finance with Market Examples (Chapman and Hall/CRC Financial Mathematics Series)

Arbitrage Theory in Continuous Time (Oxford Finance Series)

Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series)