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Автор: Pierre Bernhard, Jacob C.Engwerda, Berend Roorda, J.M.Schumacher, Vassili Kolokoltsov, Patrick Sai
Год: 2012
Издание:
[не указанo]
Страниц: 359
ISBN: 0817683879
Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance.A These theories didA away with the standard stochastic geometric diffusion a??Samuelsona?? market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approachesA to complement or replace stochastic methods.A Among the most fruitful models were those utilizing game-theoretic tools and the so-called interval market model. Over time, these models have slowly but steadily gained influence in the financial community, providing a useful alternative to classical methods. A self-contained monograph, The Interval Market Model in Mathematical Finance: Game-Theoretic MethodsA assembles some of the most important results, old and new, in this area of research. Written by seven of the most prominent pioneers of the interval market model and game-theoretic finance, the work provides a...
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