書誌事項

Mathematical finance

Mark H.A. Davis [et al.], editors

(The IMA volumes in mathematics and its applications, v. 65)

Springer-Verlag, c1995

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注記

"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

内容説明・目次

内容説明

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.

目次

  • 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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