Overview
- Explains key financial concepts, mathematical tools and theories of mathematical finance
- Range of topics covered is very broad for an introductory text
- Contains two separate appendices on Brownian motion and on numerical methods
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
Part of the book sub series: Springer Finance Textbooks (SFTEXT)
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Table of contents (9 chapters)
Keywords
- YellowSale2006
- complete and incomplete markets
- equilibrium
- investment
- optimisation of consumption
- pricing
- Black-Scholes
- Brownian motion
- calculus
- general equilibrium
- incomplete markets
- Mathematica
- mathematical finance
- modeling
- optimization
- Rang
- stochastic calculus
- stochastic process
- stochastic processes
- valuation
About this book
Reviews
From the reviews:
This is a high-level but well-written summary of the modern essentials of mathematical finance, including excellent chapters on the yield curve, pricing interest rate products, exotic options and incomplete markets.
D. L. McLeish, Short Book Reviews, December 2003
"Financial Markets in Continuous Time is a well-written textbook for graduate students in mathematical finance. … Graduate students in finance, mathematics, financial engineering, and risk management would benefit from the book in grasping the key financial concepts, mathematical tools, and theories of this discipline. … This book … covers the most important advances in mathematical finance that form the foundation for much of the continuing growth of the discipline." (Thomas S. Y. Ho, SIAM Review, Vol. 46 (3), 2004)
"Dana and Jeanblanc have successfully converted a finance problem into a completely mathematical form. … This book is suited to advanced mathematics students who want to develop mathematics within the framework of finance. … This book looks like mathematics dressed with some financial terms. However, this dressing is so nice that each chapter sounds really interesting. … I would like to recommend this book to postgraduate students or researchers in mathematics or theoretical physics when they want to re-direct their research in finance." (Myungshik Kim, Bulletin of the Irish Mathematical Society, Vol. 51, 2003)
"The objective of this book is to develop the continuous time theory of the valuation of asset prices and the theory of equilibrium of financial markets. … This is a high-level but well-written summary of the modern essentials of mathematical finance, including excellent chapters on the yield curve, pricing interest rate products, exotic options and incomplete markets." (D.L. McLeish, Short Book Reviews, Vol. 23 (3), 2003)
"This book gives an introduction to the theory of financial markets andits applications for the pricing and hedging of financial instruments. For an introductory text, the range of topics covered is amazingly broad. … Many ideas and concepts are first introduced and studied in very simple discrete models, and it is particularly remarkable how many interesting developments are already explained in the first chapter … . The material is chosen well and covers a considerable part of the subject area … . " (Martin Schweizer, Zentralblatt MATH, Vol.1014, 2003)
Authors and Affiliations
Bibliographic Information
Book Title: Financial Markets in Continuous Time
Authors: Rose-Anne Dana, Monique Jeanblanc
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-540-71150-6
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2003
Hardcover ISBN: 978-3-540-43403-0Published: 26 November 2002
Softcover ISBN: 978-3-540-71149-0Published: 12 July 2007
eBook ISBN: 978-3-540-71150-6Published: 30 June 2007
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XII, 324
Additional Information: Original French edition published by Economica, Paris, 1998
Topics: Quantitative Finance, Probability Theory and Stochastic Processes