Financial Markets in Continuous Time

• The Discrete Case.- Dynamic Models in Discrete Time.- The Black-Scholes Formula.- Portfolios Optimizing Wealth and Consumption.- The Yield Curve.- Equilibrium of Financial Markets in Discrete Time.- Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case.- Incomplete Markets.- Exotic Options.

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)