The Economics of Continuous-Time Finance

Released on by Bernard Dumas
preview-18

  • The Economics of Continuous-Time Finance Book Detail

  • Author : Bernard Dumas
  • Release Date : 2017-11-10
  • Publisher : MIT Press
  • Genre : Business & Economics
  • Pages : 641
  • ISBN 13 : 0262341433
  • File Size : 9,9 MB
DOWNLOAD BOOK

The Economics of Continuous-Time Finance by Bernard Dumas PDF Summary

Book 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.

Disclaimer: www.yourbookbest.com does not own The Economics of Continuous-Time Finance books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

The Economics of Continuous-Time Finance

The Economics of Continuous-Time Finance

File Size : 47,47 MB
Total View : 1938 Views
DOWNLOAD

An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation

Copula Methods in Finance

Copula Methods in Finance

File Size : 38,38 MB
Total View : 8188 Views
DOWNLOAD

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means o

Risk Analysis and Portfolio Modelling

Risk Analysis and Portfolio Modelling

File Size : 50,50 MB
Total View : 4521 Views
DOWNLOAD

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel co

Capital Markets, Fifth Edition

Capital Markets, Fifth Edition

File Size : 76,76 MB
Total View : 4574 Views
DOWNLOAD

The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk managem

Annuities and Other Retirement Products

Annuities and Other Retirement Products

File Size : 95,95 MB
Total View : 729 Views
DOWNLOAD

In the 1990s many emerging economies in Central Europe and Latin America initiated their pension reforms. While most analysis to date has focused on the accumul