An introduction to the mathematics of financial derivatives:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier
2014
|
| Ausgabe: | 3. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 444 S. graph. Darst. |
| ISBN: | 9780123846822 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV022652808 | ||
| 003 | DE-604 | ||
| 005 | 20140807 | ||
| 007 | t | ||
| 008 | 070827s2014 d||| |||| 00||| eng d | ||
| 020 | |a 9780123846822 |9 978-0-12-384682-2 | ||
| 035 | |a (OCoLC)635056512 | ||
| 035 | |a (DE-599)BVBBV022652808 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-473 |a DE-N2 |a DE-945 |a DE-521 |a DE-739 | ||
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a WIR 651f |2 stub | ||
| 084 | |a WIR 170f |2 stub | ||
| 084 | |a WIR 175f |2 stub | ||
| 245 | 1 | 0 | |a An introduction to the mathematics of financial derivatives |c ed. by Ali Hirsa ... |
| 250 | |a 3. ed. | ||
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier |c 2014 | |
| 300 | |a IX, 444 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | 1 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Hirsa, Ali |e Sonstige |4 oth | |
| 856 | 4 | 2 | |m Digitalisierung UB Bamberg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015858797&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-015858797 | ||
Datensatz im Suchindex
| _version_ | 1804136830721851392 |
|---|---|
| adam_text | Contents
List of Symbols and Acronyms
ix
1.
Financial
IVrivativcs
A
Brief
Introduction
1
.1
Introduction I
I
.
і
I ypes ul
1
Vri
¡uives
2
1.4
Imi
u
aids and
hul
tires
4
1.5
Opt
unis d
I .h Swaps
S
I
. / ( (
Illdllsll 111
1 0
1
.8
Relcrence*
10
1.9
Exercises
10
2.
A Primőrön
the Arbitrage
Theorem
Introduction
1
і
Notation
14
A Numerical Example
11
An .Application: Lai
ι
ice Models
2 3
Payouts and
Імгеіцп
Currencies
25
Some
С
ìeneralizations
28
С
conclusions: A Methodology for Pricing
Asseis
28
P
.(
^ 7O
Appendix:
С
ìencralization
ol
the
Arhitrave
Theorem
29
Exercises
30
2.1
) 1
2.4
2.5
Ί
і
2.9
2.10
Ì.
Review or Oererminisric
Calculus
^.1
IniroJiiction
И
].l Some Tools ot
Sť.indiin.!
Calculus
H
].]
functions
^5
i.4
С
Іоіп егцеікч1
¡ind
Limit
37
VS
ľ;irti;i! lVriv;itives
46
í.ň
(
MiH lusion.s S
1
V
7
Kelerence.s
51
í.K lixeivise.s
51
4.
IVicin^
[derivativos:
Models and
Notation
4.1
Introduction
55
4-2
Prieiny
Іміпі
lions 5(i
4. >
Applii ;il ion: AnotluT IVii in;
ц
Mmlel
54
4.4
Tlu·
Problem ol
4-~> l i UK lush ins
d.
4.
о
Reference* hi
4.7
lixercise.s hi
5.1
5.2
5.
5.4
5.5
5.6
5.7
5.8
5.9
5.10
5.11
5.12
5.
Tools in Probability Theory
Introduction (>5
rokihilit
· oh
6.1
6.2
Momenis
()
ι
Conditional Expectations
70
Some
Important
Models
72
HxptMieniial Distribution
77
(
¡amma
distribution
77
Markov Processes and Their Relevance
78
Convergence of Random Variables SI
(conclusions
84
Rel e
rene es
84
Exercises
84
6.
Martingales and Martingale
Representations
Introduci ion
SS
Dełmitions
88
6-3
The Use of
Martingales
in Assel
Pricing
89
6-4
Relevance of Martingales in Stochastic
Modelin»
90
6.5
Propert
ies
of Martingale Trajectories
93
6.6
Lxample.s
of
Martingales
95
6.7
The Simplest
Martingale
98
6.8
Marl
тцаїе
Repireseiitations
99
6.9
The
ľirst
Stoi
hasl
ic
Integral
103
6.10
Martinijaié
Methods and Pricinu;
104
VI
(
null-Mis
ii.
1 1
Λ
Pri«,
ing
Methodology
IOS
(1.12
С лПН
lusliHls
109
(í.l
5
References
109
6.14
Ііхічгім·*
109
7.
Differentiation
in Stochastic
Environments
Ini
її кіш
ι
¡t m
111
Motivili
ion
1
1
2
Л
hameuork
lor
Піч
ussjng
І
ìiflercntialion
1
І
4
І
lu·
Sire
ol
hu reiiu-iilal
hrrors Ilii
C
)ικ·
Impili ai
¡on I
1
S
Puiiin^
ilu-
Results
І
Ogctlicr
119
(
-ПІН
Insilili
І
20
Relcrcnccs
121
7.2
7.5
7.4
7.
S
7.6
7.7
7.
S
7.9
Hxcivises
S.
1
he Wiener Process, Levy Processes,
aiul
Kare
livelli.
s
in
Financial
Markels
.
1
lm
π κ 11 κ ι
ion
I
2
ΐ
Two
C
¡eneiïi
Models I
2 5
.
SHI in
1
імтеїе
InUTViils, Again
.4 l
Ь.м;к
І її
irin«.;
Кіііг
inul
Nnnn
.S ,
Moilľl
loi K;uc
I
лсШѕ
1
>S
.
η
Miinunb
Tliiii Malti
ι
I id
.
7 (.
on·,
liisioiis 1
5S
.S Iviir ;itul Nomiiil
kvints
in
Рпкікч
1) I i-lľľi4Ki-s i
42
.
10
Ľxľivi.sľ.s
145
MO
44lls
1 5
9.
integration in Stochastic Environments
1>.Ι
IntroiliKtioii
145
9.2
Tlu-
ITO
Inu
-цгні
14S
9.)
Proportii-s
of the
ITC)
limerai
155
9.4
Ot
Інт
Properties ol the
ITO
Integral
160
У.
5
Integrals with Respect to Jump Processes
160
9.6 (
oni
-lusioii
161
9.7
References
161
9.iS Hxereises
161
10.
ITU s Lemma
10.1
Introduction
165
10.2
Types
oli ieri vari
ves
164
10.5
ITO s Lemma
165
10.4
The
ITO
l-ormuhi
170
10.5
Uses of ITO s Lemma
170
10.6
Integral Form of ITO s Lemma
172
10.7
ITO s Form
li la
in More (Complex
Settings
17 5
10.
S
(
)ΐΐι
lusion
176
10.9
References
177
10.10
Hxeinses
177
1 1.
The Dynamics
oí
Derivative
Prices
Introduction
179
Λ
(ìeonietnc
Псмтірііоп
ol
Paths Implied by
SDHs LSI
Solution ol Sniis LSI
Major Models of
ЅП1-Ѕ
IS«
Stochastic Volatility
191
(
oik lusions
195
References
195
I
1.5
1 1.4
1 1.5
11.6
I
1.7
I I.H
li
ixercises
95
12
12.1
12.2
12.5
12.4
12.5
12.6
12.7
12.«
12.9
12.10
12.11
Π
13.1
15.2
Ш
Π.4
15.5
Π.6
H.7
13.8
15.9
13.10
.
Pricing
Derival
ive
Products: Partial
1
)illerenlial liqual ions
Introduclion
197
I-Onninjj; RisklVee Portlolios 19S
Леї
uraey ol the Method
100
Partial
ПіКегепііаІ
liquations
101
Classification of PHlis
20 5
Λ
Reminder:
1м агіаіе,
Second-lV^ree
itt|uations
207
Types of
РПНѕ
10H
Pricing Under Variance
(iantina
Model
10^
Conclusions
212
References
2 12
Exercises
212
.
PDEs and PIDEs
—
An Application
Introduction
215
The Black Scholes
РПН
216
Local Volatility Model
217
Partial
Integro-Differentïal
liquations
(Piniis)
218
PDLs/PIOLs
m
Asset Pricing
220
Hxotic Options
221
Solving PPHs/PIDLs in Practice
222
Conclusions
227
References
227
Lxercises
227
(
ι
illlilll-
Vll
14.
Pricing Derivative Products: Equivalent
Martingale Measures
HI Translations of
Probabilii ies
2 51
14.2
ì
5
14-5
Till (.jifSiinoV Theorem
2
îvS
14.4 Statement
ul
tlu·
t
ìirsanov
Fhcorem
24 5
14.5
Λ
Discussion
ot
lhe
Cirsanov
Theorem
244
14.6
Which Probabilities?
246
14-7
. λ
Method
lor
Cenerai ini;
luiuivalcni
Probabilities
247
14.
S
Conclusion
2
SO
14»
Relerem
c.s
251
14.10
Fxcrcbes
251
її.
Equivalent Martingale Measures
1 5. 1
lniľoJiK
lion
2т
5
li.
2
A
Martingale Measure
2)4
1
т.
ł
(
.onviTliiiii
A.ssiM
ľľii
i s
mio
M,utiiil;:iK >
2Ѕб
I
Ч.4
Appliiation:
I liľ
Black Scliolc^ I onnula 2SC
1Ť.S
(
л
imparimi
Maniniialc
aiul
PPI1.
ЛрјМ о;к
Ill s
20
I
1 5.0 (
л
illťllision.s
2()(Ί
15.7
Rclcii-Mce.s 2(io
15.
S
|;хічч
isc.s
Ші
16.
New Results
alivi
Tools
roť
Interest-
Sensitive Securities
16.1
Introduction 1W
1
6.2
Λ
Summary
270
16.
ì
Interest Riitc IVriviitiws
271
16.4 (
^omjilicatioiis
27^
16.5
Conclusions
275
[6.6
References
275
16.7
[ixorcises
275
17.
Arbitrage Theorem in a New Setting
17.1
Introduction
277
17.2
Λ
Model lor
N eu-
Instruments
278
17.
î
Other Hquivalent
Martingale
Measures
290
17.4
(-onclusinn
2У7
17.5
References
2ОД
17.6
lixercises 29S
18.
Modeling
Tenu
Structure and
Related Concepts
liS.l lninxluciion
Ю1
18.2
Main
(
Concepts
502
IS.) A Bond Pricing liquation
505
15.
4
Forward Rales and Bond Puces
509
15.
5
Conclusions: Relevance oi the
Relationships
51 1
15.
6
References
512
18.7
Fxereises
512
19.
Classical and
1
1JM Approach to
Fixed Income
19.1
Introduction
515
19.2
Пи*
Classical Approach 51b
|9.ţ
The H)M Approach to Ienn Structure
521
19.4
і
low
lo
Fit r, to Initial
Ferm
Si
ruci ure
527
19.5
Conclusion
528
19.6
Reierences 52l>
19.7
Fxeruses
52 )
20.
Classical PI Mi Analysis lor Interest
Rate Derivatives
20.
1
lut rodiul ion
5 5 5
IC1.! The Framework
5 55
20.5
Market Puce ol Interest
Raie
Risk
5
5o
20.4
Derivation oi the PDF:
5 57
20.5
Closed-Form Solutions ()| the PDF
5 5°
20.() Conclusion
542
20.7
Reierences
45
20.8
Fxereises
54 5
21.1
21.2
21.5
21.4
21.5
21.6
21.7
21.8
1.
Relating Conditional Expectations
to PDEs
Introduction
545
From Conditional Fxpectalion.s to PDFs
547
I-Vo m Pniis
to Conditional Expectations
55 5
CeneraUirs, Feynman KA(
Formula,
and Other Tools
555
Feynman KA(
,
Formula
558
Conclusions
558
References
5 58
Fixere
ises
558
22.
Pricing Derivatives via Fourier
Transfornì
Technique
22.1
Derivatives Pricing via the Fourier
Transform 5(i5
22.2
Findings and
Observations
570
22.5
Conclusions
570
22.4
Problems
571
Vlil
C
onicttts
2ì.
Credit
Spread and Credit Derivatives
2
1.
1
Standard
(
lontracts >7
î
lì.l
Priciinjoi ClivJit IVIaull S v;ip,s
Î79
2Í.Í
Pricing Multi-Nairn-
С
ireJit ProJiuts
1 1.4 (
llvJit spiX .lJ ObtnilK ll
ΙΠ
»111
Copiions
Maľkn
ЇЧ4
2
V5
ľrolik in.s
ÎW
24.
Stopping Times and American-Type
Securities
24.1
Imnului
tion
401
24.2
Why
Šimly
Snipping Times.
402
24. >
Stopping Tiiiu-.s
40
î
24-4
Uses
ι
il
Slopping
limes
404
24.^
A Simplilii-J Si-itin»
405
24.6
A Simple Example
408
24-7
Stopping Times and Martingales
411
24.
H Conclusions
412
2Ą.9
References
412
24.10
Exercises
412
25.
Overview of Calibration and
Estimation Techniques
25.1
Calibration Formulation 4lo
25.2
Underlying Models
417
25.2
Overview
dì
Filtering anil Estimation
427
25.2
Exercises
References 45
Index
4І9
|
| adam_txt |
Contents
List of Symbols and Acronyms
ix
1.
Financial
IVrivativcs
A
Brief
Introduction
1
.1
Introduction I
I
.
і
I ypes ul
1
Vri\
¡uives
2
1.4
Imi
u
aids and
hul
tires
4
1.5
Opt
unis d
I .h Swaps
S
I
. / ( '(
Illdllsll 111
1 0
1
.8
Relcrence*
10
1.9
Exercises
10
2.
A Primőrön
the Arbitrage
Theorem
Introduction
1
і
Notation
14
A Numerical Example
11
An .Application: Lai
ι
ice Models
2 3
Payouts and
Імгеіцп
Currencies
25
Some
С
ìeneralizations
28
С
conclusions: A Methodology for Pricing
Asseis
28
P
.(
^ 7O
Appendix:
С
ìencralization
ol
the
Arhitrave
Theorem
29
Exercises
30
2.1
) 1
2.4
2.5
Ί
""і
2.9
2.10
Ì.
Review or Oererminisric
Calculus
^.1
IniroJiiction
И
].l Some Tools ot
Sť.indiin.!
Calculus
H
].]
functions
^5
i.4
С
Іоіп'егцеікч1
¡ind
Limit
37
VS
ľ;irti;i! lVriv;itives
46
í.ň
(
MiH'lusion.s S
1
V
7
Kelerence.s
51
í.K lixeivise.s
51
4.
IVicin^
[derivativos:
Models and
Notation
4.1
Introduction
55
4-2
Prieiny
Іміпі
lions 5(i
4. >
Applii ;il ion: AnotluT IVii'in;
ц
Mmlel
54
4.4
Tlu·
Problem ol
4-~> l'i UK lush ins
d.'
4.
о
Reference* hi
4.7
lixercise.s hi
5.1
5.2
5.
\
5.4
5.5
5.6
5.7
5.8
5.9
5.10
5.11
5.12
5.
Tools in Probability Theory
Introduction (>5
rokihilit
\· oh
6.1
6.2
Momenis
()
ι
Conditional Expectations
70
Some
Important
Models
72
HxptMieniial Distribution
77
(
¡amma
distribution
77
Markov Processes and Their Relevance
78
Convergence of Random Variables SI
(conclusions
84
Rel e
rene es
84
Exercises
84
6.
Martingales and Martingale
Representations
Introduci ion
SS
Dełmitions
88
6-3
The Use of
Martingales
in Assel
Pricing
89
6-4
Relevance of Martingales in Stochastic
Modelin»
90
6.5
Propert
ies
of Martingale Trajectories
93
6.6
Lxample.s
of
Martingales
95
6.7
The Simplest
Martingale
98
6.8
Marl
тцаїе
Repireseiitations
99
6.9
The
ľirst
Stoi
hasl
ic
Integral
103
6.10
Martinijaié
Methods and Pricinu;
104
VI
(
'null-Mis
ii.
1 1
Λ
Pri«,
ing
Methodology
IOS
(1.12
С лПН
lusliHls
109
(í.l
5
References
109
6.14
Ііхічгім·*
109
7.
Differentiation
in Stochastic
Environments
Ini
її кіш
ι
¡t m
111
Motivili
ion
1
1
2
Л
hameuork
lor
Піч
ussjng
І
ìiflercntialion
1
І
4
І
lu·
"Sire"
ol
hu reiiu-iilal
hrrors Ilii
C
)ικ·
Impili ai
¡on I
1
S
Puiiin^
ilu-
Results
"І
Ogctlicr
119
(
-ПІН
Insilili
І
20
Relcrcnccs
121
7.2
7.5
7.4
7.
S
7.6
7.7
7.
S
7.9
Hxcivises
S.
1
he Wiener Process, Levy Processes,
aiul
Kare
livelli.
s
in
Financial
Markels
.
1
lm
π κ 11 κ ι
ion
I
2
ΐ
Two
C
¡eneiïi
Models I
2 5
.
\
SHI' in
1
'імтеїе
InUTViils, Again
.4 l
'Ь.м;к
І її
"irin«.;
Кіііг
inul
Nnnn
.S ,\
Moilľl
loi K;uc
I
лсШѕ
1
>S
.
η
Miinunb
Tliiii Malti
ι
I id
.
7 (.
'on·,
liisioiis 1
5S
.S Iviir ;itul Nomiiil
kvints
in
Рпкікч
1) I\i-lľľi4Ki-s i
42
.
10
Ľxľivi.sľ.s
145
MO
\44lls
1 5
9.
integration in Stochastic Environments
1>.Ι
IntroiliKtioii
145
9.2
Tlu-
ITO
Inu
-цгні
14S
9.)
Proportii-s
of the
ITC)
limerai
155
9.4
Ot
Інт
Properties ol the
ITO
Integral
160
У.
5
Integrals with Respect to Jump Processes
160
9.6 (
'oni
-lusioii
161
9.7
References
161
9.iS Hxereises
161
10.
ITU's Lemma
10.1
Introduction
165
10.2
Types
oli ieri vari
ves
164
10.5
ITO's Lemma
165
10.4
The
ITO
l-ormuhi
170
10.5
Uses of ITO's Lemma
170
10.6
Integral Form of ITO's Lemma
172
10.7
ITO's Form
li la
in More (Complex
Settings
17 5
10.
S
(
\)ΐΐι
lusion
176
10.9
References
177
10.10
Hxeinses
177
1 1.
The Dynamics
oí
Derivative
Prices
Introduction
179
Λ
(ìeonietnc
Псмтірііоп
ol
Paths Implied by
SDHs LSI
Solution ol Sniis LSI
Major Models of
ЅП1-Ѕ
IS«
Stochastic Volatility
191
(
'oik lusions
195
References
195
I
1.5
1 1.4
1 1.5
11.6
I
1.7
I I.H
li
ixercises
95
12
12.1
12.2
12.5
12.4
12.5
12.6
12.7
12.«
12.9
12.10
12.11
Π
13.1
15.2
Ш
Π.4
15.5
Π.6
H.7
13.8
15.9
13.10
.
Pricing
Derival
ive
Products: Partial
1
)illerenlial liqual ions
Introduclion
197
I-Onninjj; RisklVee Portlolios 19S
Леї
uraey ol the Method
100
Partial
ПіКегепііаІ
liquations
101
Classification of PHlis
20 5
Λ
Reminder:
1м\агіаіе,
Second-lV^ree
itt|uations
207
Types of
РПНѕ
10H
Pricing Under Variance
(iantina
Model
10^
Conclusions
212
References
2 12
Exercises
212
.
PDEs and PIDEs
—
An Application
Introduction
215
The Black Scholes
РПН
216
Local Volatility Model
217
Partial
Integro-Differentïal
liquations
(Piniis)
218
PDLs/PIOLs
m
Asset Pricing
220
Hxotic Options
221
Solving PPHs/PIDLs in Practice
222
Conclusions
227
References
227
Lxercises
227
(
ι
illlilll-
Vll
14.
Pricing Derivative Products: Equivalent
Martingale Measures
HI Translations of
Probabilii ies
2 51
14.2
ì
5
14-5
Till' (.jifSiinoV Theorem
2
îvS
14.4 Statement
ul
tlu·
t
ìirsanov
Fhcorem
24 5
14.5
Λ
Discussion
ot
lhe
Cirsanov
Theorem
244
14.6
Which Probabilities?
246
14-7
.'λ
Method
lor
Cenerai ini;
luiuivalcni
Probabilities
247
14.
S
Conclusion
2
SO
14»
Relerem
c.s
251
14.10
Fxcrcbes
251
її.
Equivalent Martingale Measures
1 5. 1
lniľoJiK
lion
2т
5
li.
2
A
Martingale Measure
2)4
1
т.
ł
(
'.onviTliiiii
A.ssiM
ľľii
i's
mio
M,utiiil;:iK'>
2Ѕб
I
Ч.4
Appliiation:
I liľ
Black Scliolc^ I'onnula 2SC'
1Ť.S
(
л
imparimi
Maniniialc
aiul
PPI1.
ЛрјМ'о;к
Ill's
20
I
1 5.0 (
'л
illťllision.s
2()(Ί
15.7
Rclcii-Mce.s 2(io
15.
S
|;хічч
'isc.s
Ші
16.
New Results
alivi
Tools
roť
Interest-
Sensitive Securities
16.1
Introduction 1W
1
6.2
Λ
Summary
270
16.
ì
Interest Riitc IVriviitiws
271
16.4 (
^omjilicatioiis
27^
16.5
Conclusions
275
[6.6
References
275
16.7
[ixorcises
275
17.
Arbitrage Theorem in a New Setting
17.1
Introduction
277
17.2
Λ
Model lor
N'eu-
Instruments
278
17.
î
Other Hquivalent
Martingale
Measures
290
17.4
(-onclusinn
2У7
17.5
References
2ОД
17.6
lixercises 29S
18.
Modeling
Tenu
Structure and
Related Concepts
liS.l lninxluciion
Ю1
18.2
Main
(
Concepts
502
IS.) A Bond Pricing liquation
505
15.
4
Forward Rales and Bond Puces
509
15.
5
Conclusions: Relevance oi the
Relationships
51 1
15.
6
References
512
18.7
Fxereises
512
19.
Classical and
1
1JM Approach to
Fixed Income
19.1
Introduction
515
19.2
Пи*
Classical Approach 51b
|9.ţ
The H)M Approach to Ienn Structure
521
19.4
і
low
lo
Fit r, to Initial
Ferm
Si
ruci ure
527
19.5
Conclusion
528
19.6
Reierences 52l>
19.7
Fxeruses
52')
20.
Classical PI Mi Analysis lor Interest
Rate Derivatives
20.
1
lut rodiul ion
5 5 5
IC1.! The Framework
5 55
20.5
Market Puce ol Interest
Raie
Risk
5
5o
20.4
Derivation oi the PDF:
5 57
20.5
Closed-Form Solutions ()| the PDF
5 5°
20.() Conclusion
542
20.7
Reierences
45
20.8
Fxereises
54 5
21.1
21.2
21.5
21.4
21.5
21.6
21.7
21.8
1.
Relating Conditional Expectations
to PDEs
Introduction
545
From Conditional Fxpectalion.s to PDFs
547
I-Vo m Pniis
to Conditional Expectations
55 5
CeneraUirs, Feynman KA(
'
Formula,
and Other Tools
555
Feynman KA(
",
Formula
558
Conclusions
558
References
5 58
Fixere
ises
558
22.
Pricing Derivatives via Fourier
Transfornì
Technique
22.1
Derivatives Pricing via the Fourier
Transform 5(i5
22.2
Findings and
Observations
570
22.5
Conclusions
570
22.4
Problems
571
Vlil
C
'onicttts
2ì.
Credit
Spread and Credit Derivatives
2
1.
1
Standard
(
lontracts >7
î
lì.l
Priciinjoi ClivJit IVIaull S\v;ip,s
Î79
2Í.Í
Pricing Multi-Nairn-
С
ireJit ProJiuts
1 1.4 (
llvJit spiX'.lJ ObtnilK'll
ΙΠ
»111
Copiions
Maľkn
ЇЧ4
2
V5
ľrolik'in.s
ÎW
24.
Stopping Times and American-Type
Securities
24.1
Imnului
tion
401
24.2
Why
Šimly
Snipping Times.'
402
24. >
Stopping Tiiiu-.s
40
î
24-4
Uses
ι
il
Slopping
limes
404
24.^
A Simplilii-J Si-itin»
405
24.6
A Simple Example
408
24-7
Stopping Times and Martingales
411
24.
H Conclusions
412
2Ą.9
References
412
24.10
Exercises
412
25.
Overview of Calibration and
Estimation Techniques
25.1
Calibration Formulation 4lo
25.2
Underlying Models
417
25.2
Overview
dì
Filtering anil Estimation
427
25.2
Exercises
References 45
Index
4І9 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| building | Verbundindex |
| bvnumber | BV022652808 |
| classification_rvk | QK 620 QK 660 QP 890 SK 980 |
| classification_tum | WIR 651f WIR 170f WIR 175f |
| ctrlnum | (OCoLC)635056512 (DE-599)BVBBV022652808 |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| edition | 3. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01624nam a2200421 c 4500</leader><controlfield tag="001">BV022652808</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20140807 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">070827s2014 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780123846822</subfield><subfield code="9">978-0-12-384682-2</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)635056512</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV022652808</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-N2</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-739</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 651f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 170f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 175f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">An introduction to the mathematics of financial derivatives</subfield><subfield code="c">ed. by Ali Hirsa ...</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">3. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam [u.a.]</subfield><subfield code="b">Elsevier</subfield><subfield code="c">2014</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">IX, 444 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Hirsa, Ali</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Bamberg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015858797&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-015858797</subfield></datafield></record></collection> |
| id | DE-604.BV022652808 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:22:08Z |
| indexdate | 2024-07-09T21:02:38Z |
| institution | BVB |
| isbn | 9780123846822 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015858797 |
| oclc_num | 635056512 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-N2 DE-945 DE-521 DE-739 |
| owner_facet | DE-473 DE-BY-UBG DE-N2 DE-945 DE-521 DE-739 |
| physical | IX, 444 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Elsevier |
| record_format | marc |
| spelling | An introduction to the mathematics of financial derivatives ed. by Ali Hirsa ... 3. ed. Amsterdam [u.a.] Elsevier 2014 IX, 444 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Derivat Wertpapier (DE-588)4381572-8 s DE-604 Hirsa, Ali Sonstige oth Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015858797&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | An introduction to the mathematics of financial derivatives Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4017195-4 |
| title | An introduction to the mathematics of financial derivatives |
| title_auth | An introduction to the mathematics of financial derivatives |
| title_exact_search | An introduction to the mathematics of financial derivatives |
| title_exact_search_txtP | An introduction to the mathematics of financial derivatives |
| title_full | An introduction to the mathematics of financial derivatives ed. by Ali Hirsa ... |
| title_fullStr | An introduction to the mathematics of financial derivatives ed. by Ali Hirsa ... |
| title_full_unstemmed | An introduction to the mathematics of financial derivatives ed. by Ali Hirsa ... |
| title_short | An introduction to the mathematics of financial derivatives |
| title_sort | an introduction to the mathematics of financial derivatives |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Derivat Wertpapier Finanzmathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015858797&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hirsaali anintroductiontothemathematicsoffinancialderivatives |