Del i serien IMA Volumes in Mathematics and its Applications

Mathematical Finance

Inbunden, Engelska, 1995

AvM. H. A. Davis,Mark H.A. Davis,Darrell Duffie,Wendell H. Fleming,Steven Shreve

2 149 kr

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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.

Produktinformation

Utgivningsdatum1995-04-13
Mått156 x 234 x 15 mm
Vikt452 g
FormatInbunden
SpråkEngelska
SerieIMA Volumes in Mathematics and its Applications
Antal sidor133
Upplaga1995
FörlagSpringer-Verlag New York Inc.
ISBN9780387944395

Tillhör följande kategorier

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.

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