Mark H.A. Davis,
Darrell Duffie,
Wendell H. Fleming,
Steven Shreve
e.a.
Springer New York
0e druk, 2010
9781441928450
Mathematical Finance
Specificaties
Paperback, 133 blz.
|
Engels
Springer New York |
0e druk, 2010
ISBN13: 9781441928450
Rubricering
Onderdeel van serie
The IMA Volumes in Mathematics and its Applications
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9781441928450
Taal:Engels
Bindwijze:paperback
Aantal pagina's:133
Uitgever:Springer New York
Druk:0
Hoofdrubriek:Automatisering algemeen, Computer en informatica
Inhoudsopgave
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.