Finance in continuous time: a primer
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Miami, Fla.
Kolb
1992
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 109 S. graph. Darst. |
| ISBN: | 1878975072 |
Internformat
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| 100 | 1 | |a Shimko, David C. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Finance in continuous time |b a primer |c David C. Shimko |
| 264 | 1 | |a Miami, Fla. |b Kolb |c 1992 | |
| 300 | |a 109 S. |b graph. Darst. | ||
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| 337 | |b n |2 rdamedia | ||
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| 650 | 4 | |a Finances - Modèles mathématiques | |
| 650 | 7 | |a Financiële analyse |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Investments |x Mathematical models | |
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Datensatz im Suchindex
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| adam_text | Contents
1 A Paradigm for Primary Asset Valuation 1
Introduction 1
Discrete and Continuous Models 2
Frequently Occurring Continuous Stochastic Processes 9
Arithmetic Brownian Motion 9
Geometric Brownian Motion 9
Mean Reverting Process 11
Ito s Lemma and Its Multivariate Extensions 13
An Introduction to Jump Processes 16
Simple Financial Applications of Ito s Lemma 19
Exercises 23
Solutions to Exercises 28
2 Complications of the Basic Paradigm 33
Introduction 33
Frequently Occurring Differential Equations 34
The Time Inhomogeneous Cases 37
Notes on the Separability and Homogeneity
of Cash Flows 41
The Discount Rate for Financial Assets 43
Recursive Techniques in Asset Valuation 47
Exercises 49
Solutions to Exercises 54
3 The Valuation of Derivative Securities 61
Introduction 61
A General Arbitrage Valuation Result 62
Arbitrage Valuation of Forward Contracts and Options 63
The Forward Contract 63
The European Call Option Contract 65
An Equilibrium Valuation Result 67
Time Dependent Boundary Conditions:
The American Option 70
Exercises 72
Solutions to Exercises 76
4 Optimal Decision Strategies
and Valuation 79
Introduction 79
A Time Homogeneous Financial Maximization Problem 80
Extensions of the Basic Methodology 85
Extension to Multiple State Variables 85
Extension to Explicit Time Dependence 87
A Classic Problem in Financial Economics 89
Exercises 91
Solutions to Exercises 93
Appendix 95
Laplace Transforms 95
References 105
|
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV008164111 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:15:36Z |
| institution | BVB |
| isbn | 1878975072 |
| language | English |
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| physical | 109 S. graph. Darst. |
| publishDate | 1992 |
| publishDateSearch | 1992 |
| publishDateSort | 1992 |
| publisher | Kolb |
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| spelling | Shimko, David C. Verfasser aut Finance in continuous time a primer David C. Shimko Miami, Fla. Kolb 1992 109 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finances - Modèles mathématiques Financiële analyse gtt Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Finanzmathematik (DE-588)4017195-4 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005386570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Shimko, David C. Finance in continuous time a primer Finances - Modèles mathématiques Financiële analyse gtt Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4067486-1 (DE-588)4017182-6 |
| title | Finance in continuous time a primer |
| title_auth | Finance in continuous time a primer |
| title_exact_search | Finance in continuous time a primer |
| title_full | Finance in continuous time a primer David C. Shimko |
| title_fullStr | Finance in continuous time a primer David C. Shimko |
| title_full_unstemmed | Finance in continuous time a primer David C. Shimko |
| title_short | Finance in continuous time |
| title_sort | finance in continuous time a primer |
| title_sub | a primer |
| topic | Finances - Modèles mathématiques Financiële analyse gtt Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Finances - Modèles mathématiques Financiële analyse Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanzmathematik Zeitreihenanalyse Finanzierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005386570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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