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Mathematical Finance
IMA Volume 65

ISBN 0-387-94439-7

Springer-Verlag Information/Order Form

Editors: Mark H.A. Davis, Darrell Duffie, Wendell H. Fleming and Steven E. Shreve


Continuous trading with asymmetric information and imperfect competition
Kerry Back

Contingent claim valuation and hedging with constrained portfolios
Jaksa Cvitanic and Ioannis Karatzas

On portfolio optimization under ``drawdown'' constraints
Jaksa Cvitanic and Ioannis Karatzas

American options and transaction fees
Mark H.A. Davis and Thaleia Zariphopoulou

The optimal stopping problem for a general American put-option
Nicole El Karoui and Ioannis Karatzas

Optimal investment models and risk sensitive stochastic control
Wendell H. Fleming

Arbitrage and free lunch in a general financial market model; the fundamental theorem of asset pricing
Marco Frittelli and Peter Lakner

Which model for term-structure of interest rates should one use?
L.C.G. Rogers

Liquidity premium for capital asset pricing with transaction costs
S.E. Shreve

*The IMA's Mathematical Finance workshop was held in June 14--18, 1993.

IMA Volumes in Mathematics and its Applications