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Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation.
It is to be regretted that this first comprehensive and thorough-going presentation of a mathematical logic and the derivation of mathematics from it [is] so greatly lacking in formal precision in the foundations (contained in 1– 21 of Principia [i.e., sections 1– 5 (propositional logic), 8–14 (predicate logic with identity/equality), 20 ...
Function (mathematics)-- Function application-- Function approximation-- Function composition-- Function field-- Function field (disambiguation)-- Function field (scheme theory)-- Function field of an algebraic variety-- Function field sieve-- Function of a real variable-- Function of several complex variables-- Function of several real ...
68 A Geometric Approach to Free Boundary Problems, Luis Caffarelli, Sandro Salsa (2005, ISBN 978-0-8218-3784-9) 69 Curves and Surfaces, Sebastián Montiel, Antonio Ros (2009, 2nd ed., ISBN 978-0-8218-4763-3) 70 Probability Theory in Finance: A Mathematical Guide to the Black-Scholes Formula, Seán Dineen (2013, 2nd ed., ISBN 978-0-8218-9490-3)
In a discrete (i.e. finite state) market, the following hold: [2] The First Fundamental Theorem of Asset Pricing: A discrete market on a discrete probability space (,,) is arbitrage-free if, and only if, there exists at least one risk neutral probability measure that is equivalent to the original probability measure, P.
Edward O. Thorp, The Mathematics of Gambling, 1984, ISBN 0-89746-019-7 (online version part 1, part 2, part 3, part 4) The Kelly Capital Growth Investment Criterion: Theory and Practice (World Scientific Handbook in Financial Economic Series), ISBN 978-9814293495 , February 10, 2011 by Leonard C. MacLean (Editor), Edward O. Thorp (Editor ...
The calculus of variations began with the work of Isaac Newton, such as with Newton's minimal resistance problem, which he formulated and solved in 1685, and published in his Principia in 1687, [2] which was the first problem in the field to be clearly formulated and correctly solved, and was one of the most difficult problems tackled by variational methods prior to the twentieth century.
David Gilbert Luenberger (born September 16, 1937) [1] is a mathematical scientist known for his research and his textbooks, which center on mathematical optimization. He is a professor in the department of Management Science and Engineering at Stanford University .