Del 65 i serien IMA Volumes in Mathematics and its Applications

Mathematical Finance

Häftad, Engelska, 2010

AvMark H.A. Davis,Darrell Duffie,Wendell H. Fleming,Steven Shreve

2 079 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

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

Utgivningsdatum2010-12-03
Mått155 x 235 x 9 mm
Vikt242 g
FormatHäftad
SpråkEngelska
SerieIMA Volumes in Mathematics and its Applications
Antal sidor133
FörlagSpringer-Verlag New York Inc.
ISBN9781441928450

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.