Lectures on the Mathematics of Finance

DOI10.1090/crmm/008zbMath0878.90010OpenAlexW1490772975MaRDI QIDQ4331793

Ioannis Karatzas

Publication date: 6 February 1997

Full work available at URL: https://doi.org/10.1090/crmm/008

zbMATH Keywords

optionsportfoliohedgingmathematical financeCAPMshort-salesstochastic differential calculuscontinuous-time asset pricingoptimum portfolio section

Mathematics Subject Classification ID

Related Items (29)

Conservative delta hedging. ⋮ EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS ⋮ Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation ⋮ Cooperative Hedging in Incomplete Markets ⋮ A closed-form solution for the continuous-time consumption model with endogenous labor income ⋮ Strong solution of Itô type set-valued stochastic differential equation ⋮ On the effects of changing mortality patterns on investment, labour and consumption under uncertainty ⋮ Valuation of Performance‐Dependent Options ⋮ Set-valued stochastic integral equations driven by martingales ⋮ Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus ⋮ Continuous-time mean-variance portfolio selection with random horizon ⋮ Permutations, signs and the Brownian bridge ⋮ Problems of Mathematical Finance by Stochastic Control Methods ⋮ The optimal investment, liability and dividends in insurance ⋮ Catastrophe Risk Bonds ⋮ Optimal investment decisions when time-horizon is uncertain ⋮ Dynamic asset pricing theory with uncertain time-horizon ⋮ On a two-dimensional binary model of a financial market and its extension ⋮ Optimal investment strategies with bounded risks, general utilities, and goal achieving ⋮ Equilibrium in a stochastic model with consumption, wages and investment ⋮ On the super replication price of unbounded claims ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ Optimal stock liquidation in a regime switching model with finite time horizon ⋮ Optimal investment and risk control policies for an insurer: expected utility maximization ⋮ Explicit solutions of optimal consumption, investment and insurance problems with regime switching ⋮ Increasing risk: dynamic mean-preserving spreads ⋮ Combining statistical intervals and market prices: the worst case state price distribution ⋮ Risk sensitive asset allocation ⋮ Maximizing the probability of a perfect hedge

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