Mathematical finance
Author(s)
Bibliographic Information
Mathematical finance
（The IMA volumes in mathematics and its applications, v. 65）
Springer-Verlag, c1995
Available at / 41 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
C-P||Minnea||polis||1993.695010427
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Note
"Proceedings of the Workshop on Mathematical Finance held at the Institute for Mathematics and its Applications, June 14-18, 1993" -- Pref
"Based on the proceedings of a workshop that was an integral part of the 1992-93 IMA program on 'Control Theory'" -- Foreword
Includes bibliographical references
Description and Table of Contents
Description
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.
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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