Mathematical Models in Finance: 1st Edition (Hardback) book cover

Mathematical Models in Finance

1st Edition

By S.D. Howison, F.P. Kelly, P. Wilmott

Chapman and Hall/CRC

160 pages

Purchasing Options:$ = USD
Hardback: 9780412630705
pub: 1995-05-15
$180.00
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Description

Mathematical Models in Finance compiles papers presented at the Royal Society of London discussion meeting. Topics range from the foundations of classical theory to sophisticated, up-to-date mathematical modeling and analysis. In the wake of the increased level of mathematical awareness in the financial research community, attention has focused on fundamental issues of market modelling that are not adequately allowed for in the standard analyses. Examples include market anomalies and nonlinear coupling effects, and demand new synthesis of mathematical and numerical techniques. This line of inquiry is further stimulated by ever tightening profits due to increased competition. Several papers in this volume offer pointers to future developments in this area.

Table of Contents

Influence of Mathematical Models in Finance on Practice: Past, Present and Future

Applied Mathematics and Finance

Stock Price Fluctuations as a Diffusion in Random Environment

A Note on Super-Replicating Strategies

Worldwide Security Market Anomalies

Making Money from Mathematical Models

Path-Dependent Options and Transaction Costs

Stochastic Equality Volatility and the Capital Structure of the Firm

The General Mean-Variance Portfolio Section Problem

On a Free Boundary Problem That Arises in Portfolio Management

Interest Rate Volatility and the Shape of the Term Structure

Multi-Factor Term Structure Models

Dynamic Asset Allocation: Insights from Theory

Index

Subject Categories

BISAC Subject Codes/Headings:
MAT000000
MATHEMATICS / General