Mathematical Finance by Mark H.A. DavisMathematical Finance by Mark H.A. Davis

Mathematical Finance

EditorMark H.A. Davis, Darrell Duffie, Wendell H. Fleming

Hardcover | April 13, 1995

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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.
Title:Mathematical FinanceFormat:HardcoverDimensions:148 pages, 9.21 × 6.14 × 0.03 inPublished:April 13, 1995Publisher:Springer New York

The following ISBNs are associated with this title:

ISBN - 10:0387944397

ISBN - 13:9780387944395

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Table of Contents

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.- Optimal investment models and risk sensitive stochastic control.- The optimal stopping problem for a general American put-option.- 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.