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Mathematical finance
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Mathematics
Area of mathematics
Mathematical optimization
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Words: 890
Articles: 30
Mathematical finance applies probability and optimization to portfolios, prices, and risk.
Table of contents
890
30
Arbitrage
Mathematical finance
49
1
Self-financing portfolio
Arbitrage
30
Utility function
Mathematical finance
141
4
Expected utility maximization
Utility function
124
3
Utility indifference price
Expected utility maximization
30
Optimized affine shift of concave utility
Expected utility maximization
50
Scaled centered risk under concave utility
Expected utility maximization
30
Discrete-time expected-utility portfolio problem
Mathematical finance
79
2
Bellman equation for terminal-wealth utility
Discrete-time expected-utility portfolio problem
53
1
Monotonicity and concavity of a portfolio value function
Bellman equation for terminal-wealth utility
40
Equivalent martingale measure
Mathematical finance
32
Discrete-time binomial market
Mathematical finance
218
4
Risk-neutral probability in a binomial market
Discrete-time binomial market
38
Replicating portfolio in a binomial market
Discrete-time binomial market
78
1
Backward option pricing
Replicating portfolio in a binomial market
39
Stock-numeraire measure in a binomial market
Discrete-time binomial market
61
Fundamental theorem of asset pricing
Mathematical finance
178
6
Finite-state superhedging alternative
Fundamental theorem of asset pricing
33
European call option
Fundamental theorem of asset pricing
89
3
Put-call parity
European call option
12
Binomial call-price recursion
European call option
25
Forward-start call option
European call option
37
European put option
Fundamental theorem of asset pricing
21
American option
Mathematical finance
46
1
American put option
American option
25
Mean-variance optimization
Mathematical finance
136
4
Mean-variance efficient ray
Mean-variance optimization
18
Gaussian one-fund theorem
Mean-variance optimization
75
Pareto dominance in mean-variance space
Mean-variance optimization
20
Mean-variance portfolio regression
Mean-variance optimization
11
Ancestors
(4)
Mathematical optimization
Area of mathematics
Mathematics
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