Paris-Princeton lectures on mathematical finance 2003:
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2004
|
| Schriftenreihe: | Lecture notes in mathematics
1847 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 250 S. |
| ISBN: | 3540222669 |
Internformat
MARC
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| 245 | 1 | 0 | |a Paris-Princeton lectures on mathematical finance 2003 |c Thomasz R. Bielecki ... Ed. committee: René A. Carmona ... |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Hedging of Defaultable Claims
Tomasz
R-
Bielecki,
Monique
Jeanblanc,
Marek Rutkowski
................. 1
Part I. Replication of Defaultable Claims
................................ 3
1
Preliminaries
................................................... 4
2
Defaultable Claims
.............................................. 8
3
Properties of Trading Strategies
.................................... 13
4
Replication of Defaultable Claims
.................................. 27
5
Vulnerable Claims and Credit Derivatives
........................... 37
6
PDE Approach
.................................................. 49
Part II. Mean-Variance Approach
...................................... 61
7
Mean-Variance Pricing and Hedging
................................ 63
8
Strategies Adapted to the Reference Filtration
........................ 67
9
Strategies Adapted to the Full Filtration
............................. 80
10
Risk-Return Portfolio Selection
.................................... 92
Part III. Indifference Pricing
.......................................... 98
11
Hedging in Incomplete Markets
.................................... 99
12
Optimization Problems and BSDEs
................................. 109
13
Quadratic Hedging
............................................... 118
14
Optimization in Incomplete Markets
................................ 125
References
......................................................... 128
On the Geometry of Interest Rate Models
Tomas
Björk .....................................................
133
1
Introduction
.................................................... 134
2
A Primer on Linear Realization Theory
............................. 137
3
The Consistency Problem
......................................... 145
4
The General Realization Problem
.................................. 160
5
Constructing Realizations
......................................... 175
6
The
Filipović
and
Teichmann
Extension
............................. 183
7
Stochastic Volatility Models
....................................... 184
References
......................................................... 214
VIII Contents
Heterogeneous Beliefs, Speculation and Trading in Financial Markets
José Scheinkman,
Wei Xiong
.........................................217
1
Introduction
.................................................... 217
2
A Static Model with Heterogeneous Beliefs and Short-Sales Constraints
.. 222
3
A Dynamic Model in Discrete Time with Short-Sales Constraints
....... 223
4
No-Trade Theorem under Rational Expectations
...................... 226
5
Overconfidence as Source of Heterogeneous Beliefs
................... 228
6
Trading and Equilibrium Price in Continuous Time
................... 232
7
Other Related Models
............................................ 239
8
Survival of Traders with Incorrect Beliefs
........................... 242
9
Some Remaining Problems
........................................ 246
References
......................................................... 247
|
| any_adam_object | 1 |
| author2 | Carmona, René 1947- |
| author2_role | edt |
| author2_variant | r c rc |
| author_GND | (DE-588)12323400X (DE-588)122405668 |
| author_facet | Carmona, René 1947- |
| building | Verbundindex |
| bvnumber | BV019408165 |
| classification_rvk | QP 890 SI 850 SK 980 |
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| ctrlnum | (OCoLC)318422501 (DE-599)BVBBV019408165 |
| dewey-full | 650.01513 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 650 - Management and auxiliary services |
| dewey-raw | 650.01513 |
| dewey-search | 650.01513 |
| dewey-sort | 3650.01513 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| genre_facet | Konferenzschrift 2003 Princeton NJ |
| id | DE-604.BV019408165 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T19:59:37Z |
| institution | BVB |
| isbn | 3540222669 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012870216 |
| oclc_num | 318422501 |
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| physical | VIII, 250 S. |
| publishDate | 2004 |
| publishDateSearch | 2004 |
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| publisher | Springer |
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| series | Lecture notes in mathematics |
| series2 | Lecture notes in mathematics |
| spelling | Paris-Princeton lectures on mathematical finance 2003 Thomasz R. Bielecki ... Ed. committee: René A. Carmona ... Berlin [u.a.] Springer 2004 VIII, 250 S. txt rdacontent n rdamedia nc rdacarrier Lecture notes in mathematics 1847 Matemáticas financieras - Congresos, conferencias, etc Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Geometrisches Modell (DE-588)4452959-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Rentenfonds (DE-588)4266905-4 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2003 Princeton NJ gnd-content Kreditrisiko (DE-588)4114309-7 s Finanzmathematik (DE-588)4017195-4 s DE-604 Rentenfonds (DE-588)4266905-4 s Geometrisches Modell (DE-588)4452959-4 s b DE-604 Bielecki, Tomasz R. 1955- Sonstige (DE-588)12323400X oth Carmona, René 1947- (DE-588)122405668 edt Lecture notes in mathematics 1847 (DE-604)BV000676446 1847 Digitalisierung TU Muenchen application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012870216&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Paris-Princeton lectures on mathematical finance 2003 Lecture notes in mathematics Matemáticas financieras - Congresos, conferencias, etc Kreditrisiko (DE-588)4114309-7 gnd Geometrisches Modell (DE-588)4452959-4 gnd Finanzmathematik (DE-588)4017195-4 gnd Rentenfonds (DE-588)4266905-4 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4452959-4 (DE-588)4017195-4 (DE-588)4266905-4 (DE-588)1071861417 |
| title | Paris-Princeton lectures on mathematical finance 2003 |
| title_auth | Paris-Princeton lectures on mathematical finance 2003 |
| title_exact_search | Paris-Princeton lectures on mathematical finance 2003 |
| title_full | Paris-Princeton lectures on mathematical finance 2003 Thomasz R. Bielecki ... Ed. committee: René A. Carmona ... |
| title_fullStr | Paris-Princeton lectures on mathematical finance 2003 Thomasz R. Bielecki ... Ed. committee: René A. Carmona ... |
| title_full_unstemmed | Paris-Princeton lectures on mathematical finance 2003 Thomasz R. Bielecki ... Ed. committee: René A. Carmona ... |
| title_short | Paris-Princeton lectures on mathematical finance 2003 |
| title_sort | paris princeton lectures on mathematical finance 2003 |
| topic | Matemáticas financieras - Congresos, conferencias, etc Kreditrisiko (DE-588)4114309-7 gnd Geometrisches Modell (DE-588)4452959-4 gnd Finanzmathematik (DE-588)4017195-4 gnd Rentenfonds (DE-588)4266905-4 gnd |
| topic_facet | Matemáticas financieras - Congresos, conferencias, etc Kreditrisiko Geometrisches Modell Finanzmathematik Rentenfonds Konferenzschrift 2003 Princeton NJ |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012870216&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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