Mathematical Finance

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.

Inhaltsverzeichnis

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.

Zusammenfassung

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

• Mitarbeit: Mark Davis (Herausgeber), Mark H. A. Davis (Herausgeber), Mark H.A. Davis (Herausgeber), Mark HA Davis (Herausgeber), Darrel Duffie (Herausgeber), Darrell Duffie (Herausgeber), Wendell H. Fleming (Herausgeber), Wendell H Fleming et al (Herausgeber), Steven Shreve (Herausgeber), Steven E. Shreve (Herausgeber)
• Verlag: Springer, Berlin
• Sprache: Englisch
• Produktform: Taschenbuch
• Erschienen: 27.10.2010
• EAN: 9781441928450
• ISBN: 978-1-4419-2845-0
• Seiten: 133
• Gewicht: 454 g
• Illustration: XV, 133 p.
• Serien: The IMA Volumes in Mathematics and its Applications; The IMA Volumes in Mathematics and its Applications
• Themen: Naturwissenschaften, Medizin, Informatik, Technik > Mathematik > Sonstiges; Sozialwissenschaften, Recht,Wirtschaft > Wirtschaft > Allgemeines, Lexika