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 15 years due to the methodologies of stochastic analysis and control. 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.
- ISBN10 0821806378
- ISBN13 9780821806371
- Publish Date 1 February 1997
- Publish Status Active
- Publish Country US
- Imprint American Mathematical Society
- Format Paperback
- Pages 148
- Language English