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Mathematical Finance: Workshop of the Mathematical Finance. Research Project, Konstanz, Germany, October 5-7, 2000 (Trends in Mathematics) [Hardcover]

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Item description for Mathematical Finance: Workshop of the Mathematical Finance. Research Project, Konstanz, Germany, October 5-7, 2000 (Trends in Mathematics) by Michael Kohlmann...

The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph.D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lvy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in * portfolio selection * irreversible investment * risk sensitive asset allocation * capital asset pricing * hedging contingent claims * option pricing * interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.



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Item Specifications...


Pages   380
Est. Packaging Dimensions:   Length: 9.4" Width: 6.72" Height: 1"
Weight:   1.81 lbs.
Binding  Hardcover
Release Date   Jun 21, 2001
Publisher   Birkhäuser Basel
ISBN  3764365536  
ISBN13  9783764365530  


Availability  67 units.
Availability accurate as of Mar 26, 2017 01:28.
Usually ships within one to two business days from La Vergne, TN.
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Product Categories

1Books > Subjects > Business & Investing > Economics > General
2Books > Subjects > Business & Investing > Economics > Money & Monetary Policy
3Books > Subjects > Business & Investing > Finance
4Books > Subjects > Business & Investing > General
5Books > Subjects > Professional & Technical > Accounting & Finance > Finance > General
6Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > General
7Books > Subjects > Science > Mathematics > General



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