Mathematical Finance

by Mark H.A. Davis (Editor), Darrell Duffie (Editor), Wendell H. Fleming (Editor), Steven Shreve (Editor)

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:	The IMA Volumes in Mathematics and its Applications , #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.