Methods of Mathematical Finance

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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 text. Also available by Ioannis Karatzas and Steven E.

In contrast to several other books on mathematical finance which appeared in recent years, this book deals not only with the so-called partial equilibrium approach i. A major part of the book is devoted to solving valuation and portfolio optimization problems under market imperfections, such as market incompleteness and portfolio constraints. Undoubtedly, the book constitutes a valuable research-level text which should be consulted by anyone interested in the area.

Lecture Summary

Unlike other currently available monographs, it provides an exhaustive and up-to-date treatment of portfolio optimization and valuation problems under constraints. It is also quite suitable as a textbook for an advanced course on mathematical finance. JavaScript is currently disabled, this site works much better if you enable JavaScript in your browser.

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Topics are treated for the first time in a unified manner Contains an extensive set of references and notes Provides an exhaustive and up-to-date treatment of portfolio optimization and valuation problems under constraints see more benefits. Buy eBook.

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MSc Mathematical Finance

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Email address for updates. My profile My library Metrics Alerts. Sign in. Get my own profile Cited by View all All Since Citations h-index 55 37 iindex Professor of Mathematics, Columbia University.

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