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Mathematical Finance de Mark H.A. Davis

Mathematical Finance: The IMA Volumes in Mathematics and its Applications, cartea 65

Editat de Mark H.A. Davis, Darrell Duffie, Wendell H. Fleming, Steven Shreve
en Limba Engleză Hardback – 13 apr 1995
Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this volume are based on recent research in methods in mathematical finance.
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Specificații

ISBN-13: 9780387944395
ISBN-10: 0387944397
Pagini: 133
Ilustrații: XV, 133 p.
Dimensiuni: 156 x 234 x 10 mm
Greutate: 0.39 kg
Ediția:1995
Editura: Springer
Colecția Springer
Seria The IMA Volumes in Mathematics and its Applications

Locul publicării:New York, NY, United States

Public țintă

Research

Cuprins

Continuous trading with asymmetric information and imperfect competition.- Contingent claim valuation and hedging with constrained portfolios.- On portfolio optimization under “drawdown” constraints.- American options and transaction fees.- The optimal stopping problem for a general American put-option.- Optimal investment models and risk sensitive stochastic control.- Arbitrage and free lunch in a general financial market model; the fundamental theorem of asset pricing.- Which model for term-structure of interest rates should one use?.- Liquidity premium for capital asset pricing with transaction costs.