Title Optimal portfolios with stochastic interest rates and defaultable assets / Holger Kraft

Published Berlin ; London : Springer, [2004] ©2004

Copies

Location	Call no.	Vol.	Availability
MELB	332.60151 Kra/Opw		AVAILABLE

Description x, 170 pages : illustrations ; 24 cm Series Lecture notes in economics and mathematical systems ; 540 Lecture notes in economics and mathematical systems ; 540 Contents Machine derived contents note: Preliminaries from Stochastics.- Optimal Portfolios with Stochastic Interest Rates.- Elasticity Approach to Portfolio Optimization.- Barrier Derivatives with Curved Boundaries.- Optimal Portfolios with Dafaultable Assets - A Firm Value Approach.- References.- Abbreviations.- Notations Bibliography [Includes bibliographical references 165]-170 Subject Economics, Mathematical. Finance -- Econometric models. Portfolio management -- Econometric models. Investments -- Econometric models. Stochastic processes. LC no. 2004103617 ISBN 3540212302

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