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Mathematical Finance
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Artikel-Nr:
9781441928450
Veröffentl:
2010
Einband:
Paperback
Erscheinungsdatum:
03.12.2010
Seiten:
152
Autor:
Mark H. A. Davis
Gewicht:
242 g
Format:
235x155x9 mm
Serie:
65, The IMA Volumes in Mathematics and its Applications
Sprache:
Englisch
Beschreibung:
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.
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.