Monique Jeanblanc

Rose-Anne Dana

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.

Financial Markets in Continuous Time

Tapan Mitra

Kazuo Nishimura

Cuong Van

The problem of efficient or optimal allocation of resources is a fundamental concern of economic analysis. This book provides surveys of significant results of the theory of optimal growth, as well as the techniques of dynamic optimization theory on which they are based. Armed with the results and methods of this theory, a researcher will be in an advantageous position to apply these versatile methods of analysis to new issues in the area of dynamic economics.

Discrete Time

Handbook on Optimal Growth 1

This book explains key financial concepts, mathematical tools and theories of mathematical finance. The range of topics covered is very broad for an introductory text. The book contains two separate appendices on Brownian motion and on numerical methods.

Rose-Anne Dana

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