ISBN 13 : 978-0521792370

Sommaire : Contents
Part I. Option Pricing:
Theory and Practice:
1. Arbitrage theory
2. Market models with frictions: arbitrage and pricing
3. American options: symmetry properties
4. Purely discontinuous asset price processes
5. Latent variable models for stochastic discount factors
6. Monte Carlo methods for security pricing
Part II. Interest Rate modeling
7. A geometric view of interest rate theory
8. Towards a central interest rate model 9. Infinite dimensional diffusions, Kolmogorov equations and interest rate
10. Libor market model with semi martingales
11. Modeling of forward Libor and swap rates
Part III. Risk Management and Hedging
12. Credit risk modeling, intensity based approach
13. Towards a theory of volatility trading
14. Shortfall risk in long-term hedging with short-term futures contracts 15. Numerical comparison and local risk-minimisation and mean-variance hedging
16. A guided tour through quadratic hedging approaches
Part IV. Utility Maximization:
17. Theory of portfolio optimization in markets with frictions
18. Bayesian adaptive portfolio optimization

Langue : Anglais

Collection : HANDBOOKS IN MATHEMATICAL FINANCE

Illustration(s) : Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque