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Other titles in the Static & Dynamic Game Theory: Foundations & Applications series:

The Interval Market Model in Mathematical Finance: Game-Theoretic Methods (Static & Dynamic Game Theory: Foundations & Applications)

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The Interval Market Model in Mathematical Finance: Game-Theoretic Methods (Static & Dynamic Game Theory: Foundations & Applications) Cover

 

Synopses & Reviews

Publisher Comments:

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance.

Synopsis:

Written by seven of the most prominent pioneers of the interval market model and game-theoretic approach to finance, this book provides a detailed account of several closely related

Table of Contents

General introduction.-Part 1: Two classical problems revisited.- Merton's optimal dynamic portfolio revisited.- Probability free Black and Scholes theory.- Part 2: Robust control approach to option pricing.- Option pricing and the interval market model.- Vanilla options.- Digital options.- Validation: robustness and calibration.- Extensions.- Part 3:

Product Details

ISBN:
9780817683870
Author:
Bernhard, Pierre
Publisher:
Birkhauser
Author:
Engwerda, Jacob C.
Author:
Kolokoltsov, Vassili
Author:
Schumacher, J. M.
Author:
Aubin, Jean-Pierre
Author:
Saint-Pierre, Patrick
Author:
Roorda, Berend
Subject:
Mathematics-Applied
Subject:
Game Theory
Subject:
Hamilton-Jacobi-Belman equation
Subject:
Isaacs equation
Subject:
Dynamic programming
Subject:
financial mathematics
Subject:
interval market model
Subject:
Option Pricing
Subject:
Robust control
Subject:
Game Theory, Economics, Social and Behav. Sciences
Subject:
Game Theory/Mathematical Methods
Subject:
Quantitative Finance
Subject:
Economic theory
Subject:
APPLICATIONS OF MATHEMATICS
Copyright:
Edition Description:
2013
Series:
Static & Dynamic Game Theory: Foundations & Applications
Publication Date:
20121130
Binding:
HARDCOVER
Language:
English
Pages:
362
Dimensions:
235 x 155 mm

Related Subjects

History and Social Science » Economics » General
Reference » Science Reference » Technology
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Modeling

The Interval Market Model in Mathematical Finance: Game-Theoretic Methods (Static & Dynamic Game Theory: Foundations & Applications) Used Hardcover
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Product details 362 pages Springer - English 9780817683870 Reviews:
"Synopsis" by , Written by seven of the most prominent pioneers of the interval market model and game-theoretic approach to finance, this book provides a detailed account of several closely related
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