Cover Image

The Interval Market Model in Mathematical Finance Game-Theoretic Methods /

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion <U+001c>Samuelson market model (also known as the Black-Scholes model because it is used in tha...

Full description

Bibliographic Details
Main Authors: Bernhard, Pierre. (Author), Engwerda, Jacob C. (Author), Roorda, Berend. (Author), Schumacher, J.M. (Author), Kolokoltsov, Vassili. (Author), Saint-Pierre, Patrick. (Author), Aubin, Jean-Pierre. (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic
Language:English
Published: New York, NY : Springer New York : Imprint: Birkhũser, 2013.
Series:Static & Dynamic Game Theory: Foundations & Applications
Subjects:
Mathematics.
Finance.
Economics.
Economics, Mathematical.
Game Theory, Economics, Social and Behav. Sciences.
Game Theory/Mathematical Methods.
Quantitative Finance.
Economic Theory.
Applications of Mathematics.
Online Access:https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-0-8176-8388-7
Table of Contents:
  • Preface
  • Part I Revisiting Two Classic Results in Dynamic Portfolio Management
  • Merton<U+0019>s Optimal Dynamic Portfolio Revisited
  • Option Pricing: Classic Results
  • Introduction
  • Part II Hedging in Interval Models
  • Fair Price Intervals
  • Optimal Hedging Under Robust-Cost Constraints
  • Appendix: Proofs
  • Continuous and Discrete-Time Option Pricing and Interval Market Model
  • Part III Robust-Control Approach to Option Pricing
  • Vanilla Options
  • Digital Options
  • Validation
  • Introduction
  • Part IV Game-Theoretic Analysis of Rainbow Options in Incomplete Markets
  • Emergence of Risk-Neutral Probabilities
  • Rainbow Options in Discrete Time, I
  • Rainbow Options in Discrete Time, II
  • Continuous-Time Limits
  • Credit Derivatives
  • Computational Methods Based on the Guaranteed Capture Basin Algorithm
  • Viability Approach to Complex Option Pricing and Portfolio Insurance
  • Asset and Liability Insurance Management (ALIM) for Risk Eradication
  • References
  • Index. .

Similar Items