Pub. Date:
Springer New York
Mathematical Finance / Edition 1

Mathematical Finance / Edition 1


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Product Details

ISBN-13: 9781441928450
Publisher: Springer New York
Publication date: 12/03/2010
Series: The IMA Volumes in Mathematics and its Applications , #65
Edition description: Softcover reprint of the original 1st ed. 1995
Pages: 133
Product dimensions: 6.10(w) x 9.25(h) x 0.24(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 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.

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