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.
|Publisher:||Springer New York|
|Series:||The IMA Volumes in Mathematics and its Applications , #65|
|Edition description:||Softcover reprint of the original 1st ed. 1995|
|Product dimensions:||6.10(w) x 9.25(h) x 0.24(d)|
Table of ContentsContinuous 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.