附註:Title from e-book title screen (viewed Oct. 15, 2007).
Includes bibliographical references ([371]-402) and index.
Cover -- Preface -- Table of Contents -- 1. A Brownian Model of Financial Markets -- 2. Contingent Claim Valuation in a Complete Market -- 3. Single-Agent Consumption and Investment -- 4. Equilibrium in a Complete Market -- 5. Contingent Claims in Incomplete Markets -- 6. Constrained Consumption and Investment -- Appendix A -- Essential Supremum of a Family of Random Variables -- Appendix B -- On the Model of Section 1.1. -- Appendix C -- On Theorem 6.4.1 -- Appendix D -- Optimal Stopping for Continuous-Parameter Processes -- Appendix E -- The Clark Formula -- References -- Symbol Index.
摘要:This book is the sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation presents techniques of practical importance, especially for pricing exotic options.
