Mathematical Finance Book

Contents: Continuous trading with asymmetric information and imperfect competition.- Contingent claim valuation and hedging with constrained portfolios.- On portfolio optimization under 'drawdown' constraints.- American options and transaction fees.- Optimal investment models and risk sensitive shastic control.- The optimal stopping problem for a general American put-option.- Arbitrage and free lunch in a general financial market model; the fundamental theorem of asset pricing.- Which model for term-structure of interest rates should one use?- Liquidity premium for capital asset pricing with transaction costs.