PPN: | 1651394067  |
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Konferenz: | QMF ; (Sydney) : 2009.12. |
Sprache/n: | Englisch |
Veröffentlichungsangabe: | Berlin, Heidelberg : Springer Berlin Heidelberg, 2010 |
Umfang: | Online-Ressource (X, 440p. 35 illus, digital) |
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Anmerkung: | Description based upon print version of record |
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ISBN: | 978-3-642-03479-4 |
Identifier: | DOI: 10.1007/978-3-642-03479-4 |
Mehr zum Titel: | Preface; References; Contents; Probabilistic Aspects of Arbitrage; Introduction; Preliminaries; Change of Variables; The Model; Numéraire and Log-Optimality Properties; Relative Arbitrage; The Föllmer ""Exit Measure""; The Functionally-Generated Portfolio; Induced Drifts; Conditioning; Numéraire and Log-Optimality Properties of pi (·); Relative Entropy; Stochastic Control; Stochastic Game; Conclusion; References; Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing; Introduction; Arbitrages of the First Kind and Weakly Equivalent Local Martingale Measures General Probabilistic RemarksThe Market and Investing; Arbitrages of the First Kind; Weakly Equivalent Local Martingale Measures; Local Probabilities Weakly Equivalent to P; Density Processes; Local Martingales; Weakly Equivalent Local Martingale Measures; The Main Result; The FTAP of Delbaen and Schachermayer; Proving the FTAP; NFLVR and the Supermartingale Property of Wealth Processes Under a WELMM; The Case of Continuous-Path Semimartingales; References; M6-On Minimal Market Models and Minimal Martingale Measures; Introduction; General Financial Market Models Continuous Financial Market ModelsMinimal Market Models; References; The Economic Plausibility of Strict Local Martingales in Financial Modelling; Introduction; An Overview of the Two Models; The Stock Price Bubble; The Bond Price Bubble; References; A Remarkable sigma-finite Measure Associated with Last Passage Times and Penalisation Problems; Notation; Introduction; A New Kind of Augmentation of Filtrations Consistent with the Problem of Extension of Measures; Understanding the Problem; The N-usual Augmentation; Extension of Measures and the N-usual Augmentation A Universal sigma-finite Measure QThe Class (Sigma); A Special Case Related to Financial Modeling; The General Case; Further Properties of Q and Some Remarkable Associated Martingales, and Penalisation Results; References; Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation; Introduction; The Model; Relative Arbitrage and Absence of Martingale Measures; Pricing Under Absence of an Equivalent Martingale Measure (the Case of Complete Observation); The ""Fernholz-Karatzas Approach""; The ""Benchmark Approach"" of Platen Equivalence of the Two Pricing ApproachesPricing Under Absence of an Equivalent Martingale Measure (the Case of Incomplete Observation); The Model; Corresponding Complete Observation Model; Price Dynamics; GOP Dynamics; GOP Strategy and Growth Rate Under Complete and Incomplete Observation; Expected Utility Maximization Under Complete and Incomplete Observation; Pricing According to the ""Fernholz-Karatzas Approach""; First Variant; Second Variant; Pricing According Platen's ""Benchmark Approach""; Comments on the Equivalence of the Two Approaches in the Case of Incomplete Observations References |
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Mehr zum Thema: | Klassifikation der Library of Congress: HB135-147Book Industry Communication: KFMathematics Subject Classification: *91-06Mathematics Subject Classification: 00B30Mathematics Subject Classification: 91GxxMathematics Subject Classification: 00B25 |
Inhalt: | Probabilistic Aspects of Arbitrage -- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing -- M6—On Minimal Market Models and Minimal Martingale Measures -- The Economic Plausibility of Strict Local Martingales in Financial Modelling -- A Remarkable ?-finite Measure Associated with Last Passage Times and Penalisation Problems -- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation -- Existence and Non-uniqueness of Solutions for BSDE -- Comparison Theorems for Finite State Backward Stochastic Differential Equations -- Results on Numerics for FBSDE with Drivers of Quadratic Growth -- Variance Swap Portfolio Theory -- Stochastic Partial Differential Equations and Portfolio Choice -- Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do -- Pricing and Hedging of CDOs: A Top Down Approach -- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives -- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms -- Buy Low and Sell High -- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes -- Binomial Models for Interest Rates -- Lognormal Forward Market Model (LFM) Volatility Function Approximation -- Maximum Likelihood Estimation for Integrated Diffusion Processes. The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made the major contributions to these various areas of mathematical finance. This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields. |
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