Mathematical Finance / Edition 1

Mathematical Finance / Edition 1

by Mark Davis
     
 

ISBN-10: 0387944397

ISBN-13: 9780387944395

Pub. Date: 04/13/1995

Publisher: Springer New York

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.  See more details below

Overview

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.

Product Details

ISBN-13:
9780387944395
Publisher:
Springer New York
Publication date:
04/13/1995
Series:
IMA Volumes in Mathematics and its Applications Series, #65
Edition description:
1995
Pages:
133
Product dimensions:
6.14(w) x 9.21(h) x 0.01(d)

Table of Contents

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 shastic 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.

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