Research Catalog
Mathematical finance
- Title
- Mathematical finance / Mark H.A. Davis [and others], editors.
- Publication
- New York : Springer-Verlag, [1995], ©1995.
Items in the Library & Off-site
Filter by
1 Item
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HG4515.3 .M38 1995 | Off-site |
Holdings
Details
- Additional Authors
- Davis, M. H. A.
- Description
- xv, 133 pages; 25 cm.
- Series Statement
- The IMA volumes in mathematics and its applications ; v. 65
- Uniform Title
- IMA volumes in mathematics and its applications ; v. 65.
- Subjects
- Bibliography (note)
- Includes bibliographical references.
- Contents
- Continuous trading with asymmetric information and imperfect competition / Kerry Back -- Contingent claim valuation and hedging with constrained portfolios / Jaksa Cvitanic and Ioannis Karatzas -- On portfolio optimization under "drawdown" constraints / Jaksa Cvitanic and Ioannis Karatzas -- American options and transaction fees / Mark H. A. Davis and Thaleia Zariphopoulou -- The optimal stopping problem for a general American put-option / Nicole El Karoui and Ioannis Karatzas -- Optimal investment models and risk sensitive stochastic control / Wendell H. Fleming -- Arbitrage and free lunch in a general financial market model; the fundamental theorem of asset pricing / Marco Frittelli and Peter Lakner -- Which model for term-structure of interest rates should one use? / L. C. G. Rogers -- Liquidity premium for capital asset pricing with transaction costs / S. E. Shreve.
- ISBN
- 0387944397 (New York : acid-free paper)
- LCCN
- 94044431
- OCLC
- 31709152
- ocm31709152
- Owning Institutions
- Columbia University Libraries