Mathematical Finance

Herausgegeben:Davis, Mark H.A.; Duffie, Darrell; Fleming, Wendell H.; Shreve, Steven

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• The IMA Volumes in Mathematics and its Applications 65
• Verlag: Springer / Springer New York / Springer, Berlin
• Artikelnr. des Verlages: 978-0-387-94439-5
• 1995.
• Seitenzahl: 133
• Erscheinungstermin: 13. April 1995
• Englisch
• Abmessung: 243mm x 160mm x 15mm
• Gewicht: 452g
• ISBN-13: 9780387944395
• ISBN-10: 0387944397
• Artikelnr.: 23524216

Inhaltsangabe

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.