Mathematical models in finance

Author(s)

Bibliographic Information

Mathematical models in finance

edited by S.D. Howison, F.P. Kelly and P. Wilmott

Chapman & Hall for The Royal Society, 1995

Other Title

Philosophical transactions of the Royal Society of London

Available at  / 21 libraries

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Note

"First published in 1994 by the Royal Society in Phil. Trans. R. Soc. Land. [i.e. Lond.]"--T.p. verso

Includes bibliographical references and index

Contents of Works

  • Influence of mathematical models in finance on practice : past, present and future / R.C. Merton
  • Applied mathematics and finance / S.D. Howison
  • Stock price fluctuation as a diffusion in a random environment / H. Föllmer
  • A note on super-replicating strategies / M.H.A. Davis and J.M.C. Clark
  • Worldwide security market anomalies / W.T. Ziemba and C.R. Hensel
  • Making money from mathematical models / D. Harding
  • Path-dependent options and transaction costs / J.N. Dewynne, A.E. Whalley and P. Wilmott
  • Stochastic equity volatility and the capital structure of the firm / A. Bensoussan, M. Crouhy and D. Galai
  • The general mean-variance portfolio selection problem / H.M. Markowitz (General discussion)
  • On a free boundary problem that arises in portfolio management / S.R. Pliska and M.J.P. Selby
  • Interest rate volatility and the shape of the term structure / R.H. Brown and S.M. Schaefer
  • Multi-factor term structure models / D. Duffie and R. Kan
  • Dynamic asset allocation : insights from theory / S.D. Hodges

Details

  • NCID
    BA25492893
  • ISBN
    • 0412630702
  • Country Code
    uk
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    London
  • Pages/Volumes
    vii, 152 p.
  • Size
    24 cm
  • Classification
  • Subject Headings
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