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Davis / Duffie / Fleming

Mathematical Finance

Medium: Buch
ISBN: 978-0-387-94439-5
Verlag: Springer
Erscheinungstermin: 13.04.1995
Lieferfrist: bis zu 10 Tage
Autoren/Hrsg.

Herausgeber

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.