The Interval Market Model in Mathematical Finance Game-Theoretic Met
Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Bla
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further volumes: http://www.springer.com/series/10200
Pierre Bernhard Jacob C. Engwerda Berend Roorda, J.M. Schumacher Vassili Kolokoltsov Patrick Saint-Pierre, Jean-Pierre Aubin
The Interval Market Model in Mathematical Finance: Game-Theoretic Methods
Pierre Bernhard INRIA Sophia Antipolis-M´editerran´ee Sophia Antipolis, France Berend Roorda Department of Industrial Engineering and Business Information Systems School of Management and Governance University of Twente Enschede, The Netherlands Vassili Kolokoltsov Department of Statistics University of Warwick Coventry, United Kingdom Jean-Pierre Aubin VIMADES (Viability, Markets, Automatics, Decisions) Paris, France
Jacob C. Engwerda CentER, Department of Econometrics and Operations Research Tilburg School of Economics and Management Tilburg University Tilburg, The Netherlands J.M. Schumacher CentER, Department of Econometrics and Operations Research Tilburg School of Economics and Management Tilburg University Tilburg, The Netherlands Patrick Saint-Pierre Universit´e Paris Dauphine Paris, France
ISBN 978-0-8176-8387-0 ISBN 978-0-8176-8388-7 (eBook) DOI 10.1007/978-0-8176-8388-7 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2012951648 Mathematics Subject Classification (2010): 49K21, 49L20, 49N90, 91A23, 91A25, 91G20, 91G60, 91G80 © Springer Science+Business Media New York 2013 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher and the author(s) make no warranty or representation, either express or implied, with respect to the methods or algorithms used in this book, including their quality, merchantability, or fitness for a particular purpose. In no event will the publisher or the author(s) be liable
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