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Hardcover The Interval Market Model in Mathematical Finance: Game-Theoretic Methods Book
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ISBN: 0817683879

ISBN13: 9780817683870

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

by , , , et al.
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Format: Hardcover

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Book Overview

General introduction.-Part 1: Two classical problems revisited.- Merton's optimal dynamic portfolio revisited.- Probability free Black and Scholes theory.- Part 2: Robust control approach to option pricing.- Option pricing and the interval market model.- Vanilla options.- Digital options.- Validation: robustness and calibration.- Extensions.- Part 3: Tychastic approach to mathematical finance.- Some drawbacks of the stochastic approach.- Other...

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Business Business & Investing Economics

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