MATHEMATICAL FINANCE

Le Monde En Tique

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Ouvrage 0-387-94439-7 : MATHEMATICAL FINANCE
Table of Contents
Foreword
Preface
Continuous trading with asymmetric information
and imperfect competition 1
Contingent claim valuation and hedging with constrained portfolios 13
On portfolio optimization under "drawdown" constraints
35
American options and transaction fees 47
The optimal stopping problem for a general American put-option 63
Optimal investment models and risk sensitive stochastic control 75
Arbitrage and free lunch in a general financial
market model; the fundamental theorem of asset
pricing
89
Which model for term-structure of interest rates
should one use?
93
Liquidity premium for capital asset pricing with
transaction costs
117


Auteur : DAVIS
Editeur : TELOS
Nombre de pages : 133
Date de publication : 04 1995

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