Option pricing, interest rates and risk management:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2001
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Handbooks in mathematical finance
|
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | XVI, 669 S. graph. Darst. |
| ISBN: | 0521792371 |
Internformat
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Datensatz im Suchindex
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| adam_text | List of Contributors page vii
Introduction ix
Part one: Option Pricing: Theory and Practice 1
1 Arbitrage Theory Yu. M. Kabanov 3
2 Market Models with Frictions: Arbitrage and Pricing Issues E. Jouini and
C. Napp 43
3 American Options: Symmetry Properties J. Detemple 67
4 Purely Discontinuous Asset Price Processes D. B. Madan 105
5 Latent Variable Models for Stochastic Discount Factors R. Garcia and
E. Renault 154
6 Monte Carlo Methods for Security Pricing P. Boyle, M. Broadie and
P. Glasserman 185
Part two: Interest Rate Modeling 239
7 A Geometric View of Interest Rate Theory T. Bjb rk 241
8 Towards a Central Interest Rate Model A. Brace, T. Dun and G. Barton 278
9 Infinite Dimensional Diffusions, Kolmogorov Equations and Interest Rate
Models B. Goldys and M. Musiela 314
10 Modelling of Forward Libor and Swap Rates M. Rutkowski 336
Part three: Risk Management and Hedging 397
11 Credit Risk Modelling: Intensity Based Approach T. R. Bielecki and
M. Rutkowski 399
12 Towards a Theory of Volatility Trading P. Carr and D. Madan 458
13 Shortfall Risk in Long Term Hedging with Short Term Futures Contracts
P. Glasserman All
14 Numerical Comparison of Local Risk Minimisation and Mean Variance
Hedging D. Heath, E. Platen and M. Schweizer 509
v
vi Contents
15 A Guided Tour through Quadratic Hedging Approaches M. Schweizer 538
Part four: Utility Maximization 575
16 Theory of Portfolio Optimization in Markets with Frictions J. Cvitanic 577
17 Bayesian Adaptive Portfolio Optimization /. Karatzas andX. Zhao 632
|
| any_adam_object | 1 |
| author_GND | (DE-588)12404462X |
| building | Verbundindex |
| bvnumber | BV013793887 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3A38 2001 |
| callnumber-search | HG6024.A3A38 2001 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0151 332/.01/51 21 |
| dewey-search | 332.0151 332/.01/51 21 |
| dewey-sort | 3332.0151 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV013793887 |
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| indexdate | 2024-07-09T18:52:06Z |
| institution | BVB |
| isbn | 0521792371 |
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| spelling | Option pricing, interest rates and risk management ed. by E. Jouini ... 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2001 XVI, 669 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Handbooks in mathematical finance Optionspreistheorie / Zins / Hedging / Mathematische Ökonomie / Theorie Mathematisches Modell Derivative securities -- Prices -- Mathematical models Interest rates -- Mathematical models Risk management Securities -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Zinstheorie (DE-588)4190933-1 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Aufsatzsammlung - Zinsänderung - Risikomanagement - Optionspreistheorie Optionsgeschäft (DE-588)4043670-6 s Risikomanagement (DE-588)4121590-4 s DE-604 Finanzmathematik (DE-588)4017195-4 s DE-188 Derivat Wertpapier (DE-588)4381572-8 s Optionspreistheorie (DE-588)4135346-8 s Zinstheorie (DE-588)4190933-1 s Zinsänderungsrisiko (DE-588)4067851-9 s Mathematisches Modell (DE-588)4114528-8 s Kreditrisiko (DE-588)4114309-7 s Hedging (DE-588)4123357-8 s Jouini, Elyès 1965- Sonstige (DE-588)12404462X oth Erscheint auch als Online-Ausgabe 978-0-511-56970-8 (DE-604)BV043944956 http://www.loc.gov/catdir/description/cam021/00052911.html Publisher description http://www.loc.gov/catdir/toc/cam027/00052911.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009430728&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Option pricing, interest rates and risk management Optionspreistheorie / Zins / Hedging / Mathematische Ökonomie / Theorie Mathematisches Modell Derivative securities -- Prices -- Mathematical models Interest rates -- Mathematical models Risk management Securities -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinstheorie (DE-588)4190933-1 gnd Optionsgeschäft (DE-588)4043670-6 gnd Hedging (DE-588)4123357-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Optionspreistheorie (DE-588)4135346-8 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
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| title | Option pricing, interest rates and risk management |
| title_auth | Option pricing, interest rates and risk management |
| title_exact_search | Option pricing, interest rates and risk management |
| title_full | Option pricing, interest rates and risk management ed. by E. Jouini ... |
| title_fullStr | Option pricing, interest rates and risk management ed. by E. Jouini ... |
| title_full_unstemmed | Option pricing, interest rates and risk management ed. by E. Jouini ... |
| title_short | Option pricing, interest rates and risk management |
| title_sort | option pricing interest rates and risk management |
| topic | Optionspreistheorie / Zins / Hedging / Mathematische Ökonomie / Theorie Mathematisches Modell Derivative securities -- Prices -- Mathematical models Interest rates -- Mathematical models Risk management Securities -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinstheorie (DE-588)4190933-1 gnd Optionsgeschäft (DE-588)4043670-6 gnd Hedging (DE-588)4123357-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Optionspreistheorie (DE-588)4135346-8 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| topic_facet | Optionspreistheorie / Zins / Hedging / Mathematische Ökonomie / Theorie Mathematisches Modell Derivative securities -- Prices -- Mathematical models Interest rates -- Mathematical models Risk management Securities -- Mathematical models Finanzmathematik Derivat Wertpapier Zinstheorie Optionsgeschäft Hedging Risikomanagement Kreditrisiko Optionspreistheorie Zinsänderungsrisiko Aufsatzsammlung Aufsatzsammlung - Zinsänderung - Risikomanagement - Optionspreistheorie |
| url | http://www.loc.gov/catdir/description/cam021/00052911.html http://www.loc.gov/catdir/toc/cam027/00052911.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009430728&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT jouinielyes optionpricinginterestratesandriskmanagement |