Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Pliska Studia Mathematica Bulgarica, Vol. 12, No 1, (1998), 133p-140p
The paper deals with some problems of financial mathematics that can be studied
with the help of the theory of guaranteed control under uncertainty. From this
viewpoint the dynamic portfolio selection problem and the option pricing models
are considered, and the links between guaranteed and stochastic approaches in
financial mathematics are discussed.