The Interval Market Model in Mathematical Finance

1. Merton’s Optimal Dynamic Portfolio Revisited
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

2. Option Pricing: Classic Results
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

3. Introduction
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

4. Fair Price Intervals
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

5. Optimal Hedging Under Robust-Cost Constraints
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

6. Appendix: Proofs
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

7. Continuous and Discrete-Time Option Pricing and Interval Market Model
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

8. Vanilla Options
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

9. Digital Options
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

10. Validation
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

11. Introduction
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

12. Emergence of Risk-Neutral Probabilities from a Game-Theoretic Origin
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

13. Rainbow Options in Discrete Time, I
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

14. Rainbow Options in Discrete Time, II
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

15. Continuous-Time Limits
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

16. Credit Derivatives
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

17. Computational Methods Based on the Guaranteed Capture Basin Algorithm
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

18. Asset and Liability Insurance Management (ALIM) for Risk Eradication
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

Avainsanat: Mathematics, Game Theory, Economics, Social and Behav. Sciences, Game Theory/Mathematical Methods, Quantitative Finance, Economic Theory, Applications of Mathematics