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Mathematical Finance

The IMA Volumes in Mathematics and its Applications 65

Erschienen am 03.12.2010, 1. Auflage 1995
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Bibliografische Daten
ISBN/EAN: 9781441928450
Sprache: Englisch
Umfang: xv, 133 S.
Einband: kartoniertes Buch

Beschreibung

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.

Produktsicherheitsverordnung

Hersteller:
Springer Verlag GmbH
juergen.hartmann@springer.com
Tiergartenstr. 17
DE 69121 Heidelberg

Autorenportrait

InhaltsangabeContinuous 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.