Financial Markets in Continuous Time

  • Rose-Anne Dana
  • Monique Jeanblanc

Part of the Springer Finance book series (FINANCE)

Table of contents

About this book


In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of general equilibrium theory, and applies this in financial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.


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

Authors and affiliations

  • Rose-Anne Dana
    • 1
  • Monique Jeanblanc
    • 2
  1. 1.CEREMADEUniversité Paris IX (Dauphine)Paris Cedex 16France
  2. 2.Département de MathématiquesUniversité d’EvryEvryFrance

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2003
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-71149-0
  • Online ISBN 978-3-540-71150-6
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