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

by Patrick Saint-Pierre, Jean-Pierre Aubin, Vassili Kolokoltsov, et al.

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...

• Format: Hardcover
• Language: English
• ISBN: 0817683879
• ISBN13: 9780817683870
• Release Date: December 2012
• Publisher: Birkhauser
• Length: 348 Pages
• Weight: 1.51 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"