Abstract
My aim is to make some comments of a quite general nature about the relation between applied mathematics and finance, theoretical and practical. I shall begin with a brief description of a case in which ‘technology transfer’ from a quite different area of mathematics, the Stefan problem, was helpful with a financial problem, namely the Black-Scholes approach to an American option. I then discuss some more general issues about the role of this kind of mathematics in finance and suggest some possible avenues for future progress.
Subject
Pharmacology (medical),Complementary and alternative medicine,Pharmaceutical Science
Reference15 articles.
1. The dynamics of a conserved phase-held system. IMA J. appl;Caginalp G.;Math.,1990
2. The solution of a quadratic programming problem using systematic overrelaxation. SIAM J;Cryer C. W.;Control,1971
3. Dewynne J. N. Howison S. D. Rupf I. & Wilmott P. 1993 Some mathematical results in the pricing of American options. Euro. J . appl. Math. 4 .
4. Dewynne J. N. & Wilmott P. 1994 A note on average rate options with discrete sampling. SIAM Jl appl. Math. (In the press.)
5. Duffie D. 1992 Dynamic asset pricing theory. Princeton.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献