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.
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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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