The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).
- ISBN13 9789810232153
- Publish Date 3 December 1997 (first published 1 January 1997)
- Publish Status Active
- Publish Country SG
- Imprint World Scientific Publishing Co Pte Ltd
- Format Hardcover
- Pages 352
- Language English
- URL https://worldscientific.com/worldscibooks/10.1142/3548