Format:
1 Online-Ressource (xvi, 669 Seiten)
ISBN:
9780511569708
Series Statement:
Handbooks in mathematical finance
Content:
This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material
Note:
Arbitrage theory / Yu. M. Kabanov -- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp -- American options : symmetry properties / J. Detemple -- Purely discontinuous asset price processes / D.B. Madan -- Latent variable models for stochastic discount factors / R. Garcia and É. Renault -- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman -- A geometric view of interest rate theory / T. Björk -- Towards a central interest rate model / A. Brace, T. Dun and G. Barton -- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela -- Modelling of forward Libor and swap rates / M. Rutkowski -- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski -- Towards a theory of volatility trading / P. Carr and D. Madan -- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman -- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer -- A guided tour through quadratic hedging approaches / M. Schweizer -- Theory of portfolio optimization in markets with frictions / J. Cvitanić -- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao
Additional Edition:
Erscheint auch als Druck-Ausgabe ISBN 978-0-521-79237-0
Language:
English
Subjects:
Economics
,
Mathematics
Keywords:
Kreditrisiko
;
Risikomanagement
;
Hedging
;
Zinstheorie
;
Zinsänderungsrisiko
;
Mathematisches Modell
;
Derivat
;
Optionspreistheorie
;
Optionsgeschäft
;
Risikomanagement
;
Finanzmathematik
;
Aufsatzsammlung
DOI:
10.1017/CBO9780511569708
URL:
Volltext
(URL des Erstveröffentlichers)
Author information:
Cvitanić, Jakša 1962-
Author information:
Musiela, Marek 1950-
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