The Interval Market Model in Mathematical Finance (e-book) (used book) | bookbook.eu

Description

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance.aThese theories didaaway with the standard stochastic geometric diffusion OC SamuelsonOCO 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 approachesato complement or replace stochastic methods.aAmong 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 Methodsaassembles 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 detailed account of several closely relatedamodeling techniquesafor an array of problems in mathematical economics. The book isadivided into five parts, which successively address topics including: Aaaaaaaaa probability-free Black-Scholes theory;Aaaaaaaaa fair-price interval of an option;Aaaaaaaaa representation formulas and fast algorithms for option pricing;Aaaaaaaaa rainbow options;Aaaaaaaaa tychastic approach of mathematical finance based upon viability theory.This book providesaa welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. Itais a worthwhile resource for researchers in applied mathematics and quantitative finance, aand has also beenawritten in a manneraaccessible to financially-inclined readers with a limited technical background."