Lectures on the Mathematics of Finance

DOI10.1090/CRMM/008zbMath0878.90010OpenAlexW1490772975MaRDI QIDQ4331793

Ioannis Karatzas

Publication date: 6 February 1997

Full work available at URL: https://doi.org/10.1090/crmm/008

zbMATH Keywords

optionsportfoliohedgingmathematical financeCAPMshort-salesstochastic differential calculuscontinuous-time asset pricingoptimum portfolio section

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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