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Mathematical Finance Mark H.A. Davis

Mathematical Finance By Mark H.A. Davis

Mathematical Finance by Mark H.A. Davis

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Summary

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.

Mathematical Finance Summary

Mathematical Finance by Mark H.A. Davis

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.

Table of Contents

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.

Additional information

NLS9781441928450
9781441928450
1441928456
Mathematical Finance by Mark H.A. Davis
Mark H.A. Davis
The IMA Volumes in Mathematics and its Applications
New
Paperback
Springer-Verlag New York Inc.
2010-12-03
133
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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Customer Reviews - Mathematical Finance