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Mathematical Models in Finance compiles papers presented at the Royal Society of London discussion meeting. Topics range from the foundations of classical theory to sophisticated, up-to-date mathematical modeling and analysis. In the wake of the increased level of mathematical awareness in the financial research community, attention has focused on fundamental issues of market modelling that are not adequately allowed for in the standard analyses. Examples include market anomalies and nonlinear coupling effects, and demand new synthesis of mathematical and numerical techniques. This line of inquiry is further stimulated by ever tightening profits due to increased competition. Several papers in this volume offer pointers to future developments in this area.
Table of Contents
Influence of Mathematical Models in Finance on Practice: Past, Present and Future Applied Mathematics and Finance Stock Price Fluctuations as a Diffusion in Random Environment A Note on Super-Replicating Strategies Worldwide Security Market Anomalies Making Money from Mathematical Models Path-Dependent Options and Transaction Costs Stochastic Equality Volatility and the Capital Structure of the Firm The General Mean-Variance Portfolio Section Problem On a Free Boundary Problem That Arises in Portfolio Management Interest Rate Volatility and the Shape of the Term Structure Multi-Factor Term Structure Models Dynamic Asset Allocation: Insights from Theory Index