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 “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous...
| Main Authors: | , , , |
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| Format: | eBook |
| Language: | English |
| Published: |
New York, NY
Springer New York
2013, 2013
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| Edition: | 1st ed. 2013 |
| Series: | Static & Dynamic Game Theory: Foundations & Applications
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Preface
- Part I Revisiting Two Classic Results in Dynamic Portfolio Management
- Merton’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.