Portfolio optimizations in incomplete financial markets
Auteur :
Schachermayer, Walter
Éditeur :
Schachermayer, Walter
ISBN :
9788876421419
Date de publication :
1 oct. 2004
Dimensions :
24,0 x 17,0 cm
Langue :
Anglais
Pays d'origine :
Italie
Features lecture notes based on a course given in June 2001 at the Cattedra Galileiana of Scuola Normale Superiore di Pisa. The course consisted of a short introduction into the basic concepts of Mathematical Finance, focusing on the notion of 'no arbitrage', and subsequently applying these concepts to portfolio optimization.