Mathematical models in finance
著者
書誌事項
Mathematical models in finance
Chapman & Hall for The Royal Society, 1995
- タイトル別名
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Philosophical transactions of the Royal Society of London
大学図書館所蔵 全21件
注記
"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
収録内容
- 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
内容説明・目次
内容説明
Mathematical Models in Finance compiles papers presented at the Royal Society of London discussion meeting. Topics range from the foundations of classical theory to sophisticated, up-to-date mathematical modeling and analysis. In the wake of the increased level of mathematical awareness in the financial research community, attention has focused on fundamental issues of market modelling that are not adequately allowed for in the standard analyses. Examples include market anomalies and nonlinear coupling effects, and demand new synthesis of mathematical and numerical techniques. This line of inquiry is further stimulated by ever tightening profits due to increased competition. Several papers in this volume offer pointers to future developments in this area.
目次
Influence of Mathematical Models in Finance on Practice: Past, Present and Future
Applied Mathematics and Finance
Stock Price Fluctuations as a Diffusion in Random Environment
A Note on Super-Replicating Strategies
Worldwide Security Market Anomalies
Making Money from Mathematical Models
Path-Dependent Options and Transaction Costs
Stochastic Equality Volatility and the Capital Structure of the Firm
The General Mean-Variance Portfolio Section Problem
On a Free Boundary Problem That Arises in Portfolio Management
Interest Rate Volatility and the Shape of the Term Structure
Multi-Factor Term Structure Models
Dynamic Asset Allocation: Insights from Theory
Index
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