Mathematical Finance, Softcover reprint of the original 1st ed. 1995 The IMA Volumes in Mathematics and its Applications Series, Vol. 65
Langue : Anglais
Coordonnateurs : Davis Mark H.A., Duffie Darrell, Fleming Wendell H., Shreve Steven
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.
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.
Date de parution : 12-2010
Ouvrage de 133 p.
15.5x23.5 cm
Thème de Mathematical Finance :
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