The Economics Of Continuous Time Finance

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The Economics of Continuous-Time Finance

Bernard Dumas,Elisa Luciano
The Economics of Continuous Time Finance Book PDF

Author : Bernard Dumas,Elisa Luciano
Publisher : MIT Press
Page : 641 pages
File Size : 43,9 Mb
Release : 2017-10-27
Category : Business & Economics
ISBN : 9780262036542

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The Economics of Continuous-Time Finance by Bernard Dumas,Elisa Luciano Pdf

An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets—characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.

Continuous-Time Finance

Robert C. Merton
Continuous Time Finance Book PDF

Author : Robert C. Merton
Publisher : Wiley-Blackwell
Page : 754 pages
File Size : 40,9 Mb
Release : 1992-11-03
Category : Business & Economics
ISBN : 0631185089

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Continuous-Time Finance by Robert C. Merton Pdf

Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.

Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham
Continuous time Stochastic Control and Optimization with Financial Applications Book PDF

Author : Huyên Pham
Publisher : Springer Science & Business Media
Page : 243 pages
File Size : 55,7 Mb
Release : 2009-05-28
Category : Mathematics
ISBN : 9783540895008

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Continuous-time Stochastic Control and Optimization with Financial Applications by Huyên Pham Pdf

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Continuous-Time Asset Pricing Theory

Robert A. Jarrow
Continuous Time Asset Pricing Theory Book PDF

Author : Robert A. Jarrow
Publisher : Springer Nature
Page : 470 pages
File Size : 49,5 Mb
Release : 2021-07-30
Category : Business & Economics
ISBN : 9783030744106

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Continuous-Time Asset Pricing Theory by Robert A. Jarrow Pdf

Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features ​new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.

Arbitrage Theory in Continuous Time

Tomas Björk
Arbitrage Theory in Continuous Time Book PDF

Author : Tomas Björk
Publisher : OUP Oxford
Page : 600 pages
File Size : 53,9 Mb
Release : 2009-08-06
Category : Business & Economics
ISBN : 9780191610295

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Arbitrage Theory in Continuous Time by Tomas Björk Pdf

The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

Continuous-Time Models in Corporate Finance, Banking, and Insurance

Santiago Moreno-Bromberg,Jean-Charles Rochet
Continuous Time Models in Corporate Finance Banking and Insurance Book PDF

Author : Santiago Moreno-Bromberg,Jean-Charles Rochet
Publisher : Princeton University Press
Page : 176 pages
File Size : 44,9 Mb
Release : 2018-01-08
Category : Business & Economics
ISBN : 9781400889204

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Continuous-Time Models in Corporate Finance, Banking, and Insurance by Santiago Moreno-Bromberg,Jean-Charles Rochet Pdf

Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.

The Foundations of Continuous Time Finance

Stephen M. Schaefer
The Foundations of Continuous Time Finance Book PDF

Author : Stephen M. Schaefer
Publisher : Edward Elgar Publishing
Page : 0 pages
File Size : 48,8 Mb
Release : 2001
Category : Finance
ISBN : 1858987504

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The Foundations of Continuous Time Finance by Stephen M. Schaefer Pdf

This volume is an authoritative collection of 25 key papers in the development of continuous time finance. Its five sections cover the continuous time model, dynamic portfolio selection, equilibrium models, derivative pricing and, finally, term structure and other applications. It includes seminal contributions in areas such as: the Martingale approach to no-arbitrage pricing; dynamic models of consumption and portfolio selection; the inter-temporal and consumption based asset pricing models; contingent claims pricing; the term structure of interest rates and the use of changes in numeraire in options pricing. This book will be an essential source of reference for students and researchers in finance and, indeed, anyone needing access to the key papers in this important field.

Continuous-Time Models in Corporate Finance, Banking, and Insurance

Santiago Moreno-Bromberg,Jean-Charles Rochet
Continuous Time Models in Corporate Finance Banking and Insurance Book PDF

Author : Santiago Moreno-Bromberg,Jean-Charles Rochet
Publisher : Princeton University Press
Page : 223 pages
File Size : 52,5 Mb
Release : 2018-01-08
Category : Business & Economics
ISBN : 9780691176529

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Continuous-Time Models in Corporate Finance, Banking, and Insurance by Santiago Moreno-Bromberg,Jean-Charles Rochet Pdf

Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.

Arbitrage Theory in Continuous Time

Tomas Bjork
Arbitrage Theory in Continuous Time Book PDF

Author : Tomas Bjork
Publisher : Oxford University Press, USA
Page : 584 pages
File Size : 55,6 Mb
Release : 2020-01-16
Category : Arbitrage
ISBN : 9780198851615

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Arbitrage Theory in Continuous Time by Tomas Bjork Pdf

The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, Arbitrage Theory in Continuous Time is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Bjork has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. This edition includes an entirely new section presenting dynamic equilibrium theory, covering unit net supply endowments models and the Cox-Ingersoll-Ross equilibrium factor model. Providing two full treatments of arbitrage theory-the classical delta hedging approach and the modern martingale approach-this book is written so that these approaches can be studied independently of each other, thus providing the less mathematically-oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action. This textbook is a natural choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in the market.

Financial Markets in Continuous Time

Rose-Anne Dana,Monique Jeanblanc-Picqué,Monique Jeanblanc
Financial Markets in Continuous Time Book PDF

Author : Rose-Anne Dana,Monique Jeanblanc-Picqué,Monique Jeanblanc
Publisher : Springer Science & Business Media
Page : 331 pages
File Size : 46,5 Mb
Release : 2007-07-12
Category : Business & Economics
ISBN : 9783540711490

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Financial Markets in Continuous Time by Rose-Anne Dana,Monique Jeanblanc-Picqué,Monique Jeanblanc Pdf

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in 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 equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.

Introduction to the Economics and Mathematics of Financial Markets

Jaksa Cvitanic,Fernando Zapatero
Introduction to the Economics and Mathematics of Financial Markets Book PDF

Author : Jaksa Cvitanic,Fernando Zapatero
Publisher : MIT Press
Page : 528 pages
File Size : 47,8 Mb
Release : 2004-02-27
Category : Business & Economics
ISBN : 0262033208

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Introduction to the Economics and Mathematics of Financial Markets by Jaksa Cvitanic,Fernando Zapatero Pdf

An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.

Stochastic Calculus for Finance I

Steven Shreve
Stochastic Calculus for Finance I Book PDF

Author : Steven Shreve
Publisher : Springer Science & Business Media
Page : 212 pages
File Size : 45,6 Mb
Release : 2005-06-28
Category : Mathematics
ISBN : 0387249680

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Stochastic Calculus for Finance I by Steven Shreve Pdf

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

Contract Theory in Continuous-Time Models

Jakša Cvitanic,Jianfeng Zhang
Contract Theory in Continuous Time Models Book PDF

Author : Jakša Cvitanic,Jianfeng Zhang
Publisher : Springer Science & Business Media
Page : 258 pages
File Size : 49,8 Mb
Release : 2012-09-26
Category : Mathematics
ISBN : 9783642141997

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Contract Theory in Continuous-Time Models by Jakša Cvitanic,Jianfeng Zhang Pdf

In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.

Financial Asset Pricing Theory

Claus Munk
Financial Asset Pricing Theory Book PDF

Author : Claus Munk
Publisher : Oxford University Press, USA
Page : 598 pages
File Size : 54,6 Mb
Release : 2013-04-18
Category : Business & Economics
ISBN : 9780199585496

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Financial Asset Pricing Theory by Claus Munk Pdf

The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.

Contract Theory in Continuous-Time Models

Jakša Cvitanic,Jianfeng Zhang
Contract Theory in Continuous Time Models Book PDF

Author : Jakša Cvitanic,Jianfeng Zhang
Publisher : Springer Science & Business Media
Page : 258 pages
File Size : 43,8 Mb
Release : 2012-09-24
Category : Mathematics
ISBN : 9783642142000

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Contract Theory in Continuous-Time Models by Jakša Cvitanic,Jianfeng Zhang Pdf

In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.