Mathematical Finance
Editat de Mark H A Davis, Darrell Duffie, Wendell H. Fleming, Steven Shreveen Limba Engleză Hardback – 13 apr 1995
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Specificații
ISBN-13: 9780387944395
ISBN-10: 0387944397
Pagini: 133
Ilustrații: XV, 133 p.
Dimensiuni: 160 x 243 x 15 mm
Greutate: 0.45 kg
Ediția:1995 edition
Editura: Springer
Locul publicării:New York, NY, United States
ISBN-10: 0387944397
Pagini: 133
Ilustrații: XV, 133 p.
Dimensiuni: 160 x 243 x 15 mm
Greutate: 0.45 kg
Ediția:1995 edition
Editura: Springer
Locul publicării:New York, NY, United States
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Public țintă
ResearchCuprins
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.