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