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.

Full Product Details

Author:   Mark H.A. Davis ,  Darrell Duffie ,  Wendell H. Fleming ,  Steven Shreve
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of the original 1st ed. 1995
Volume:   65
Dimensions:   Width: 15.50cm , Height: 0.80cm , Length: 23.50cm
Weight:   0.454kg
ISBN:  

9781441928450

ISBN 10:   1441928456
Pages:   133
Publication Date:   03 December 2010
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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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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