Ulteriori informazioni
This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models. Mainstream financial economists and economic theorists who want to understand important ideas and results from the highly mathematical literature of financial mathematics will find this book an invaluable aid.
Sommario
1. Introduction; 2. Finitely many states and dates; 3. Countinuous time and the Black-Scholes-Merton (BSM) Model; 4. BSM as an idealization of binomial-random-walk economies; 5. Random walks that are not binomial; 6. Barlow's example; 7. The Pötzelberger-Schlumprecht example and asymptotic arbitrage; 8. Concluding remarks, Part I: how robust an idealization is BSM?; 9. Concluding remarks, Part II: continuous-time models as idealizations of discrete time; Appendix.
Info autore
David M. Kreps is the Adams Distinguished Professor of Management, Emeritus at the Graduate School of Business, Stanford University, California. He has been honored with many awards, including the John Bates Clark Medal by the American Economic Association in 1989 and the Carty Prize for the Advancement of Science by the National Academy of Sciences in 2018.
Riassunto
This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models. Mainstream financial economists and economic theorists who want to understand important ideas and results from the highly mathematical literature of financial mathematics will find this book an invaluable aid.
