Mathematical Finance - The IMA Volumes in Mathematics and its Applications
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Published By Springer New York

9781441928450, 9781475724356

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American Options and Transaction Fees

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_4 ◽

1995 ◽

pp. 47-61 ◽

Author(s):

Mark H. A. Davis ◽

Thaleia Zariphopoulou

Keyword(s):

American Options ◽

Transaction Fees

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Which Model for Term-Structure of Interest Rates Should One Use?

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_8 ◽

1995 ◽

pp. 93-115 ◽

Author(s):

L. C. G. Rogers

Keyword(s):

Interest Rates ◽

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Optimal Investment Models and Risk Sensitive Stochastic Control

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_6 ◽

1995 ◽

pp. 75-88 ◽

Author(s):

Wendell H. Fleming

Keyword(s):

Stochastic Control ◽

Optimal Investment ◽

Risk Sensitive ◽

Investment Models

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The Optimal Stopping Problem for a General American Put-Option

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_5 ◽

1995 ◽

pp. 63-74 ◽

Author(s):

Nicole El Karoui ◽

Ioannis Karatzas

Keyword(s):

Optimal Stopping ◽

Optimal Stopping Problem ◽

American Put Option ◽

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On Portfolio Optimization under “Drawdown” Constraints

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_3 ◽

1995 ◽

pp. 35-45 ◽

Author(s):

Jakša Cvitanić ◽

Ioannis Karatzas

Keyword(s):

Portfolio Optimization

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Liquidity Premium for Capital Asset Pricing with Transaction Costs

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_9 ◽

1995 ◽

pp. 117-133

Author(s):

S. E. Shreve

Keyword(s):

Asset Pricing ◽

Transaction Costs ◽

Capital Asset Pricing ◽

Capital Asset ◽

Liquidity Premium

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Arbitrage and Free Lunch in a General Financial Market Model; The Fundamental Theorem of Asset Pricing

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_7 ◽

1995 ◽

pp. 89-92 ◽

Author(s):

Marco Frittelli ◽

Peter Lakner

Keyword(s):

Asset Pricing ◽

Financial Market ◽

Fundamental Theorem ◽

Market Model ◽

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Contingent Claim Valuation and Hedging with Constrained Portfolios

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_2 ◽

1995 ◽

pp. 13-33 ◽

Author(s):

Jakša Cvitanić ◽

Ioannis Karatzas

Keyword(s):

Contingent Claim ◽

Contingent Claim Valuation

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Continuous Trading with Asymmetric Information and Imperfect Competition

Mathematical Finance - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-1-4757-2435-6_1 ◽

1995 ◽

pp. 1-12

Author(s):

Kerry Back

Keyword(s):

Asymmetric Information ◽

Imperfect Competition ◽

Continuous Trading

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