Buch, Englisch, Band 8
Reihe: CRM Monograph S.
Buch, Englisch, Band 8
Reihe: CRM Monograph S.
ISBN: 978-0-8218-0909-9
Verlag: American Mathematical Society
This text discusses the main aspects of mathematical finance, including: arbitrage; hedging and pricing of contingent claims; portfolio optimization; incomplete and/or constrained markets; equilibrium; and transaction costs. The book outlines advances due to stochastic analysis and control.
In this text, the author discusses the main aspects of mathematical finance. These include: arbitrage; hedging and pricing of contingent claims; portfolio optimization; incomplete and/or constrained markets; equilibrium; and transaction costs. The book outlines advances made possible during the last 15 years due to the methodologies of stochastic analysis and control. Readers are presented with research and open problems are suggested.;This tutorial survey of the field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with applied problems.;This book is intended for graduate students in applied mathematics, stochastic analysis and finance.
The Model. Part I: Complete markets. Pricing. Optimization. Equilibrium. Part II: Incomplete markets. Hedging. Optimization. Pricing. Transaction Costs. Appendix A. Historical Notes. Bibliography
Fachgebiete
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
