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
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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