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.
Reihe
Auflage
Sprache
Verlagsort
Zielgruppe
Für höhere Schule und Studium
Für Beruf und Forschung
Research
Produkt-Hinweis
Fadenheftung
Gewebe-Einband
Illustrationen
Maße
Höhe: 243 mm
Breite: 160 mm
Dicke: 15 mm
Gewicht
ISBN-13
978-0-387-94439-5 (9780387944395)
DOI
10.1007/978-1-4757-2435-6
Schweitzer Klassifikation
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.
