Mathematical Finance (The IMA Volumes in Mathematics and its Applications, Band 65)
ISBN 10: 0387944397 ISBN 13: 9780387944395
Editore: Springer, 1995
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Descrizione:
Befriedigend/Good: Durchschnittlich erhaltenes Buch bzw. Schutzumschlag mit Gebrauchsspuren, aber vollständigen Seiten. / Describes the average WORN book or dust jacket that has all the pages present. Codice articolo M00387944397-G
Riassunto:
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.
Contenuti: 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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Titolo: Mathematical Finance (The IMA Volumes in ...
Casa editrice: Springer
Data di pubblicazione: 1995
Legatura: Rilegato
Condizione: good