Mathematical Finance
Published on 13. April 1995
Book
Hardback
XV, 133 pages
978-0-387-94439-5 (ISBN)
Description
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.
More details
Series
Edition
1995 ed.
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
Research
Product notice
sewn/stitched
Cloth over boards
Illustrations
XV, 133 p.
Dimensions
Height: 243 mm
Width: 160 mm
Thickness: 15 mm
Weight
452 gr
ISBN-13
978-0-387-94439-5 (9780387944395)
DOI
10.1007/978-1-4757-2435-6
Schweitzer Classification
Other editions
Additional editions
Mark H.A. Davis | Darrell Duffie | Wendell H. Fleming
Mathematical Finance
Book
12/2010
Springer
€160.49
Shipment within 15-20 days
Persons
Content
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.