Mathematical Finance de Mark H.A. Davis

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

Mark H.A. Davis

Darrell Duffie

Wendell H. Fleming

Steven Shreve

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: 9781441928450
ISBN-10: 1441928456
Pagini: 152
Ilustrații: XV, 133 p.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.23 kg
Ediția:Softcover reprint of the original 1st ed. 1995
Editura: Springer
Colecția Springer
Seria The IMA Volumes in Mathematics and its Applications

Locul publicării:New York, NY, United States

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.