Option pricing, interest rates and risk management
著者
書誌事項
Option pricing, interest rates and risk management
（Handbooks in mathematical finance）
Cambridge University Press, 2001
- : hbk
大学図書館所蔵 件 / 全54件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
- Introduction
- Part I. Option Pricing: Theory and Practice: 1. Arbitrage theory Yu. M. Kabanov
- 2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp
- 3. American options: symmetry properties J. Detemple
- 4. Purely discontinuous asset price processes D. Madan
- 5. Latent variable models for stochastic discount factors R. Garcia and E. Renault
- 6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman
- Part II. Interest Rate Modeling: 7. A geometric view of interest rate theory T. Bjork
- 8. Towards a central interest rate model A. Brace, T. Dun and G. Barton
- 9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela
- 10. Libor market model with semimartingales F. Jamshidian
- 11. Modeling of forward Libor and swap rates M. Rutkowski
- Part III. Risk Management and Hedging: 12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski
- 13. Towards a theory of volatility trading P. Carr and D. Madan
- 14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman
- 15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer
- 16. A guided tour through quadratic hedging approaches M. Schweizer
- Part IV. Utility Maximization: 17. Theory of portfolio optimization in markets with frictions J. Cvitanic
- 18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.
「Nielsen BookData」 より