Static & Dynamic Game Theory: Foundations & Applications

The Interval Market Model in Mathematical Finance

Game-Theoretic Methods

Authors: Bernhard, P., Engwerda, J.C., Roorda, B., Schumacher, J.M., Kolokoltsov, V., Saint-Pierre, P., AUBIN, J.-P.

  • First book on the market to highlight the interval market model in mathematical finance
  • Combines several related paths of research into a single source, while providing numerous unpublished results
  • Presented in a manner accessible to readers specializing in both mathematics and finance
  • Includes many features to clarify concepts and facilitate referencing, such as figures, tables, biographical data, and subject, author, and notation indices
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eBook $109.00
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  • ISBN 978-0-8176-8388-7
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  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-0-8176-8387-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-1-4899-8580-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
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About this book

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” 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 approaches to complement or replace stochastic methods. 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 Methods 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 detailed account of several closely related modeling techniques for an array of problems in mathematical economics. The book is divided into five parts, which successively address topics including:

·         probability-free Black-Scholes theory;

·         fair-price interval of an option;

·         representation formulas and fast algorithms for option pricing;

·         rainbow options;

·         tychastic approach of mathematical finance based upon viability theory.

This book provides a welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. It is a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also been written in a manner accessible to financially-inclined readers with a limited technical background.

Table of contents (18 chapters)

  • Merton’s Optimal Dynamic Portfolio Revisited

    Bernhard, Pierre (et al.)

    Pages 3-16

  • Option Pricing: Classic Results

    Bernhard, Pierre (et al.)

    Pages 17-26

  • Introduction

    Bernhard, Pierre (et al.)

    Pages 31-44

  • Fair Price Intervals

    Bernhard, Pierre (et al.)

    Pages 45-63

  • Optimal Hedging Under Robust-Cost Constraints

    Bernhard, Pierre (et al.)

    Pages 65-77

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-0-8176-8388-7
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-0-8176-8387-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-1-4899-8580-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
The Interval Market Model in Mathematical Finance
Book Subtitle
Game-Theoretic Methods
Authors
Series Title
Static & Dynamic Game Theory: Foundations & Applications
Copyright
2013
Publisher
Birkhäuser Basel
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-0-8176-8388-7
DOI
10.1007/978-0-8176-8388-7
Hardcover ISBN
978-0-8176-8387-0
Softcover ISBN
978-1-4899-8580-4
Series ISSN
2363-8516
Edition Number
1
Number of Pages
XVI, 348
Topics