Mathematical Finance

1. Auflage. Softcover version of original hardcover Auflage 1995
ISBN: 978-1-4419-2845-0
Verlag: Springer

Buch, Englisch, Band 65, 133 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 242 g

Reihe: The IMA Volumes in Mathematics and its Applications

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.

Zielgruppe

Research

Autoren/Hrsg.

Davis, Mark H. A.

Shreve, Steven

Duffie, Darrell

Fleming, Wendell H.

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

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.