Synopses & Reviews
Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this volume are based on recent research in methods in mathematical finance.
Table of Contents
Contents: 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.- Optimal investment models and risk sensitive stochastic control.- The optimal stopping problem for a general American put-option.- 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.