Financial Markets in Continuous Time (Springer Finance) [Paperback]

Rose-Anne Dana (Author), Monique Jeanblanc (Author), A. Kennedy (Translator)

Book Description

ISBN-10: 354071149X | ISBN-13: 978-3540711490 | Publication Date: September 10, 2007

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.

Editorial Reviews

Review

From the reviews:

This is a high-level but well-written summary of the modern essentials of mathematical finance, including excellent chapters on the yield curve, pricing interest rate products, exotic options and incomplete markets.

D. L. McLeish, Short Book Reviews, December 2003

"Financial Markets in Continuous Time is a well-written textbook for graduate students in mathematical finance. … Graduate students in finance, mathematics, financial engineering, and risk management would benefit from the book in grasping the key financial concepts, mathematical tools, and theories of this discipline. … This book … covers the most important advances in mathematical finance that form the foundation for much of the continuing growth of the discipline." (Thomas S. Y. Ho, SIAM Review, Vol. 46 (3), 2004)

"Dana and Jeanblanc have successfully converted a finance problem into a completely mathematical form. … This book is suited to advanced mathematics students who want to develop mathematics within the framework of finance. … This book looks like mathematics dressed with some financial terms. However, this dressing is so nice that each chapter sounds really interesting. … I would like to recommend this book to postgraduate students or researchers in mathematics or theoretical physics when they want to re-direct their research in finance." (Myungshik Kim, Bulletin of the Irish Mathematical Society, Vol. 51, 2003)

"The objective of this book is to develop the continuous time theory of the valuation of asset prices and the theory of equilibrium of financial markets. … This is a high-level but well-written summary of the modern essentials of mathematical finance, including excellent chapters on the yield curve, pricing interest rate products, exotic options and incomplete markets." (D.L. McLeish, Short Book Reviews, Vol. 23 (3), 2003)

"This book gives an introduction to the theory of financial markets and its applications for the pricing and hedging of financial instruments. For an introductory text, the range of topics covered is amazingly broad. … Many ideas and concepts are first introduced and studied in very simple discrete models, and it is particularly remarkable how many interesting developments are already explained in the first chapter … . The material is chosen well and covers a considerable part of the subject area … . " (Martin Schweizer, Zentralblatt MATH, Vol.1014, 2003)

Language Notes

Text: English (translation)
Original Language: French --This text refers to the Hardcover edition.

See all Editorial Reviews

Product Details

• Paperback: 326 pages
• Publisher: Springer (September 10, 2007)
• Language: English
• ISBN-10: 354071149X
• ISBN-13: 978-3540711490
• Product Dimensions: 9.2 x 7.2 x 0.8 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #2,137,925 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews

5.0 out of 5 stars Very good and clear, but tough topic, November 21, 2007

By 

Bachelier ""1004"" (Ile de France) - See all my reviews

This review is from: Financial Markets in Continuous Time (Springer Finance) (Paperback)

Financial Markets in Continuous Time is a welcome update of Merton on the same space, but with a few advances and a bit more rigor, and some updated notation that adds to clarity.

For those old coots like me who have already had to go through Merton, there is only marginal additional clarity and advances. But for young folks just starting out read this first and then go back to "the classics" i.e. Merton, Shimko, Shreve and Bjork. Stephen Schaefer can be skipped.