Verfügbarkeit: Financial engineering

Financial engineering:

Gespeichert in:

Bibliographische Detailangaben
Format:	Buch
Sprache:	English
Veröffentlicht:	Amsterdam [u.a.] Elsevier 2008
Ausgabe:	1. ed.
Schriftenreihe:	Handbooks in operations research and management science 15
Schlagworte:	Financieel management Hedging Operations research Risk management Financial engineering Financial Engineering
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	Includes bibliographical references and index
Beschreibung:	XII, 1014 S. graph. Darst.
ISBN:	0444517812 9780444517814

Internformat

MARC


LEADER	00000nam a2200000 cb4500
001	BV022949669
003	DE-604
005	20140127
007	t
008	071107s2008 d\|\|\| \|\|\|\| 00\|\|\| eng d
020			\|a 0444517812 \|9 0-444-51781-2
020			\|a 9780444517814 \|9 978-0-444-51781-4
035			\|a (OCoLC)181420877
035			\|a (DE-599)GBV538662077
040			\|a DE-604 \|b ger \|e rakwb
041	0		\|a eng
049			\|a DE-20 \|a DE-12 \|a DE-634 \|a DE-384
050		0	\|a HG176.7
082	0		\|a 658.15224 \|2 22
084			\|a QP 750 \|0 (DE-625)141933: \|2 rvk
245	1	0	\|a Financial engineering \|c ed. by John R. Birge ...
250			\|a 1. ed.
264		1	\|a Amsterdam [u.a.] \|b Elsevier \|c 2008
300			\|a XII, 1014 S. \|b graph. Darst.
336			\|b txt \|2 rdacontent
337			\|b n \|2 rdamedia
338			\|b nc \|2 rdacarrier
490	1		\|a Handbooks in operations research and management science \|v 15
500			\|a Includes bibliographical references and index
650		7	\|a Financieel management \|2 gtt
650		7	\|a Hedging \|2 gtt
650		7	\|a Operations research \|2 gtt
650		7	\|a Risk management \|2 gtt
650		4	\|a Financial engineering
650	0	7	\|a Financial Engineering \|0 (DE-588)4208404-0 \|2 gnd \|9 rswk-swf
689	0	0	\|a Financial Engineering \|0 (DE-588)4208404-0 \|D s
689	0		\|5 DE-604
700	1		\|a Birge, John R. \|d 1956- \|e Sonstige \|0 (DE-588)170238830 \|4 oth
830		0	\|a Handbooks in operations research and management science \|v 15 \|w (DE-604)BV002805695 \|9 15
856	4	2	\|m SWB Datenaustausch \|q application/pdf \|u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016154157&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA \|3 Inhaltsverzeichnis
999			\|a oai:aleph.bib-bvb.de:BVB01-016154157

Datensatz im Suchindex

_version_	1804137192355790848
adam_text	CONTENTS I. INTRODUCTION INTRODUCTION TO THE HANDBOOK OF FINANCIAL ENGINEERING JOHN R. BIRGE AND VADIM LINETSKY 3 REFERENCES 11 CHAPTER 1 AN INTRODUCTION TO FINANCIAL ASSET PRICING ROBERT A. JARROW AND PHILIP PROTTER 13 1 INTRODUCTION 13 2 INTRODUCTION TO DERIVATIVES AND ARBITRAGE 14 3 THE CORE OF THE THEORY 21 4 AMERICAN TYPE DERIVATIVES 60 ACKNOWLEDGEMENTS 67 REFERENCES 67 II. DERIVATIVE SECURITIES: MODELS AND METHODS CHAPTER 2 JUMP-DIFFUSION MODELS FOR ASSET PRICING IN FINANCIAL ENGINEERING S.G. KOU 73 1 INTRODUCTION 73 2 EMPIRICAL STYLIZED FACTS 75 3 MOTIVATION FOR JUMP-DIFFUSION MODELS $4 4 EQUILIBRIUM FOR GENERAL JUMP-DIFFUSION MODELS 89 5 BASIC SETTING FOR OPTION PRICING 92 6 PRICING CALL AND PUT OPTION VIA LAPLACE TRANSFORMS 94 7 FIRST PASSAGE TIMES 96 8 BARRIER AND LOOKBACK OPTIONS JQQ 9 ANALYTICAL APPROXIMATIONS FOR AMERICAN OPTIONS 103 10 EXTENSION OF THE JUMP-DIFFUSION MODELS TO MULTIVARIATE CASES 108 REFERENCES 1 3 CHAPTER 3 MODELING FINANCIAL SECURITY RETURNS USING LEVY PROCESSES LIUREN WU 1 1 7 1 INTRODUCTION 117 VI CONTENTS 2 MODELING RETURN INNOVATION DISTRIBUTION USING LEVY PROCESSES 120 3 GENERATING STOCHASTIC VOLATILITY BY APPLYING STOCHASTIC TIME CHANGES 127 4 MODELING FINANCIAL SECURITY RETURNS WITH TIME-CHANGED LEVY PROCESSES 133 5 OPTION PRICING UNDER TIME-CHANGED LEVY PROCESSES 144 6 ESTIMATING LEVY PROCESSES WITH AND WITHOUT TIME CHANGES 155 7 CONCLUDING REMARKS 159 ACKNOWLEDGEMENTS 159 REFERENCES 160 CHAPTER 4 PRICING WITH WISHART RISK FACTORS CHRISTIAN GOURIEROUX AND RAZVAN SUFANA 163 1 INTRODUCTION 163 2 WISHART PROCESS 167 3 PRICING 172 4 EXAMPLES 175 5 CONCLUDING REMARKS 181 REFERENCES 181 CHAPTER 5 VOLATILITY FEDERICO M. BANDI AND JEFFREY R. RUSSELL 183 1 INTRODUCTION 183 2 A MODEL OF PRICE FORMATION WITH MICROSTRUCTURE EFFECTS 184 3 THE VARIANCE OF THE EQUILIBRIUM PRICE 186 4 SOLUTIONS TO THE INCONSISTENCY PROBLEM 191 5 EQUILIBRIUM PRICE VARIANCE ESTIMATION: DIRECTIONS FOR FUTURE WORK 202 6 THE VARIANCE OF MICROSTRUCTURE NOISE: A CONSISTENCY RESULT 210 7 THE BENEFIT OF CONSISTENCY: MEASURING MARKET QUALITY 210 8 VOLATILITY AND ASSET PRICING 216 ACKNOWLEDGEMENTS 217 REFERENCES 217 CHAPTER 6 SPECTRAL METHODS IN DERIVATIVES PRICING VADIM LINETSKY 223 1 INTRODUCTION 224 2 SELF-ADJOINT SEMIGROUPS IN HILBERT SPACES 230 3 ONE-DIMENSIONAL DIFFUSIONS: GENERAL RESULTS 237 4 ONE-DIMENSIONAL DIFFUSIONS: A CATALOG OF ANALYTICALLY TRACTABLE MODELS 253 5 SYMMETRIC MULTI-DIMENSIONAL DIFFUSIONS 285 6 INTRODUCING JUMPS AND STOCHASTIC VOLATILITY VIA TIME CHANGES 288 7 CONCLUSION 294 REFERENCES 294 CONTENTS VN CHAPTER 7 VARIATIONAL METHODS IN DERIVATIVES PRICING LIMING FENG, PAVLO KOVALOV, VADIM LINETSKY AND MICHAEL MARCOZZI 301 1 INTRODUCTION 302 2 EUROPEAN AND BARRIER OPTIONS IN THE BLACK-SCHOLES-MERTON MODEL 305 3 AMERICAN OPTIONS IN THE BLACK-SCHOLES-MERTON MODEL 315 4 GENERAL MULTI-DIMENSIONAL JUMP-DIFFUSION MODELS 320 5 EXAMPLES AND APPLICATIONS 329 6 SUMMARY 339 REFERENCES 340 CHAPTER 8 DISCRETE BARRIER AND LOOKBACK OPTIONS S.G. KOU 343 1 INTRODUCTION 343 2 A REPRESENTATION OF BARRIER OPTIONS VIA THE CHANGE OF NUMERAIRE ARGUMENT 348 3 CONVOLUTION, BROADIE-YAMAMOTO METHOD VIA THE FAST GAUSSIAN TRANSFORM, AND FENG-LINETSKY METHOD VIA HILBERT TRANSFORM 350 4 CONTINUITY CORRECTIONS 355 5 PERTURBATION METHOD 361 6 A LAPLACE TRANSFORM METHOD VIA SPITZER S IDENTITY 363 7 WHICH METHOD TO USE 365 APPENDIX A. PROOF OF (1) 366 APPENDIX B. CALCULATION OF THE CONSTANT /3 368 REFERENCES 370 III. INTEREST RATE AND CREDIT RISK MODELS AND DERIVATIVES CHAPTER 9 TOPICS IN INTEREST RATE THEORY TOMAS BJORK 377 1 INTRODUCTION 377 2 BASICS 378 3 FORWARD RATE MODELS 381 4 CHANGE OF NUMERAIRE 387 5 LIBOR MARKET MODELS 390 6 NOTES 400 7 GEOMETRIC INTEREST RATE THEORY 400 8 CONSISTENCY AND INVARIANT MANIFOLDS 401 9 EXISTENCE OF NONLINEAR REALIZATIONS 411 10 POTENTIALS AND POSITIVE INTEREST 419 REFERENCES 434 VIII CONTENTS CHAPTER 10 CALCULATING PORTFOLIO CREDIT RISK PAUL GLASSERMAN 437 1 INTRODUCTION 437 2 PROBLEM SETTING 439 3 MODELS OF DEPENDENCE 444 4 CONDITIONAL LOSS DISTRIBUTIONS 451 5 UNCONDITIONAL LOSS DISTRIBUTIONS 457 6 IMPORTANCE SAMPLING 462 7 SUMMARY 467 REFERENCES 468 CHAPTER 11 VALUATION OF BASKET CREDIT DERIVATIVES IN THE CREDIT MIGRATIONS ENVI- RONMENT TOMASZ R. BIELECKI, STEPHANE CREPEY, MONIQUE JEANBLANC AND MAREK RUTKOWSKI 471 1 INTRODUCTION 472 2 NOTATION AND PRELIMINARY RESULTS 476 3 MARKOVIAN MARKET MODEL 481 4 CHANGES OF MEASURES AND MARKOVIAN NUMERAIRES 485 5 VALUATION OF SINGLE NAME CREDIT DERIVATIVES 492 6 VALUATION OF BASKET CREDIT DERIVATIVES 497 7 MODEL IMPLEMENTATION 500 REFERENCES 507 FV. INCOMPLETE MARKETS CHAPTER 12 INCOMPLETE MARKETS JEREMY STAUM 511 1 INTRODUCTION 511 2 THE OVER-THE-COUNTER MARKET 513 3 CAUSES OF INCOMPLETENESS 516 4 PRICING AND OPTIMIZATION 518 5 ISSUES IN PRICING AND EXPECTED UTILITY EXAMPLES 528 6 QUADRATICS 533 7 ENTROPY AND EXPONENTIAL UTILITY 536 8 LOSS, QUANTILES, AND PREDICTION 537 9 PRICING KERNEL RESTRICTIONS 540 10 AMBIGUITY AND ROBUSTNESS 544 11 CALIBRATION 550 12 CONCLUSION 551 ACKNOWLEDGEMENTS 554 APPENDIX A. DEFINITION OF INCOMPLETENESS AND FUNDAMENTAL THEOREMS 554 APPENDIX B. FINANCIAL PERSPECTIVES ON INCOMPLETENESS 556 REFERENCES 558 CONTENTS 1X CHAPTER 13 OPTION PRICING: REAL AND RISK-NEUTRAL DISTRIBUTIONS GEORGE M. CONSTANTINIDES, JENS CARSTEN JACKWERTH AND STYLIANOS PERRAKIS 565 1 INTRODUCTION 566 2 IMPLICATIONS OF THE ABSENCE OF ARBITRAGE 567 3 ADDITIONAL RESTRICTIONS IMPLIED BY UTILITY MAXIMIZATION 570 4 SPECIAL CASE: ONE PERIOD WITHOUT TRANSACTION COSTS 574 5 SPECIAL CASE: ONE PERIOD WITH TRANSACTION COSTS AND GENERAL PAYOFFS 578 6 SPECIAL CASE: TWO PERIODS WITHOUT TRANSACTION COSTS AND GENERAL PAYOFFS 579 7 SPECIAL CASE: TWO PERIODS WITH TRANSACTION COSTS AND GENERAL PAYOFFS 580 8 MULTIPLE PERIODS WITHOUT TRANSACTION COSTS AND WITH CONVEX PAYOFFS 581 9 MULTIPLE PERIODS WITH TRANSACTION COSTS AND WITH CONVEX PAYOFFS 583 10 EMPIRICAL RESULTS 585 11 CONCLUDING REMARKS 588 ACKNOWLEDGEMENTS 589 REFERENCES 589 CHAPTER 14 TOTAL RISK MINIMIZATION USING MONTE CARLO SIMULATIONS THOMAS F. COLEMAN, YUYING LI AND MARIA-CRISTINA PATRON 593 1 INTRODUCTION 593 2 DISCRETE HEDGING CRITERIA 599 3 TOTAL RISK MINIMIZATION IN THE BLACK-SCHOLES FRAMEWORK 603 4 TOTAL RISK MINIMIZATION IN A STOCHASTIC VOLATILITY FRAMEWORK 618 5 SHORTFALL RISK MINIMIZATION 625 6 CONCLUSIONS 632 REFERENCES 634 CHAPTER 15 QUEUING THEORETIC APPROACHES TO FINANCIAL PRICE FLUCTUATIONS ERHAN BAYRAKTAR, ULRICH HORST AND RONNIE SIRCAR 637 1 INTRODUCTION 638 2 AGENT-BASED MODELS OF FINANCIAL MARKETS 639 3 MICROSTRUCTURE MODELS WITH INERT INVESTORS 649 4 OUTLOOK AND CONCLUSION 671 ACKNOWLEDGEMENTS 674 REFERENCES 674 V. RISK MANAGEMENT CHAPTER 16 ECONOMIC CREDIT CAPITAL ALLOCATION AND RISK CONTRIBUTIONS HELMUT MAUSSER AND DAN ROSEN 681 1 INTRODUCTION 682 2 CREDIT PORTFOLIO MODELS AND GENERAL FRAMEWORK 684 X CONTENTS 3 CAPITAL ALLOCATION AND RISK CONTRIBUTIONS 688 4 CREDIT RISK CONTRIBUTIONS IN ANALYTICAL MODELS 693 5 NUMERICAL METHODS TO COMPUTE RISK CONTRIBUTIONS 701 6 CASE STUDIES 706 7 SUMMARY AND FURTHER RESEARCH 717 APPENDIX A 721 REFERENCES 724 CHAPTER 17 LIQUIDITY RISK AND OPTION PRICING THEORY ROBERT A. JARROW AND PHILIP PROTTER 727 1 INTRODUCTION 727 2 THE MODEL 729 3 THE EXTENDED FIRST FUNDAMENTAL THEOREM 733 4 THE EXTENDED SECOND FUNDAMENTAL THEOREM 735 5 EXAMPLE (EXTENDED BLACK-SCHOLES ECONOMY) 741 6 ECONOMIES WITH SUPPLY CURVES FOR DERIVATIVES 743 7 TRANSACTION COSTS 745 8 EXAMPLES OF SUPPLY CURVES 747 9 CONCLUSION 751 ACKNOWLEDGEMENT 751 APPENDIX A 751 REFERENCES 761 CHAPTER 18 FINANCIAL ENGINEERING: APPLICATIONS IN INSURANCE PHELIM BOYLE AND MARY HARDY 763 1 INTRODUCTION 763 2 INSURANCE PRODUCTS AND MARKETS 765 3 PREMIUM PRINCIPLES AND RISK MEASURES 768 4 RISK MANAGEMENT FOR LIFE INSURANCE 770 5 VARIABLE ANNUITIES 775 6 GUARANTEED ANNUITY OPTIONS 781 7 CONCLUSIONS 784 ACKNOWLEDGEMENTS 784 REFERENCES 785 VI. PORTFOLIO OPTIMIZATION CHAPTER 19 DYNAMIC PORTFOLIO CHOICE AND RISK AVERSION COSTIS SKIADAS 789 1 INTRODUCTION 789 2 OPTIMALITY AND STATE PRICING 793 3 RECURSIVE UTILITY 804 4 MODELING RISK AVERSION 814 CONTENTS XL 5 SCALE-INVARIANT SOLUTIONS 821 6 EXTENSIONS 833 ACKNOWLEDGEMENTS 839 REFERENCES 839 CHAPTER 20 OPTIMIZATION METHODS IN DYNAMIC PORTFOLIO MANAGEMENT JOHN R. BIRGE 845 1 INTRODUCTION 845 2 FORMULATION 846 3 APPROXIMATION METHODS 849 4 SOLUTION METHODS 857 5 EXTENSIONS AND CONCLUSIONS 860 ACKNOWLEDGEMENTS 861 REFERENCES 861 CHAPTER 21 SIMULATION METHODS FOR OPTIMAL PORTFOLIOS JEROME DETEMPLE, RENE GARCIA AND MARCEL RINDISBACHER 867 1 INTRODUCTION 867 2 THE CONSUMPTION-PORTFOLIO CHOICE PROBLEM 869 3 SIMULATION METHODS FOR PORTFOLIO COMPUTATION 878 4 ASYMPTOTIC PROPERTIES OF PORTFOLIO ESTIMATORS 887 5 PERFORMANCE EVALUATION: A NUMERICAL STUDY 903 6 CONCLUSION 907 ACKNOWLEDGEMENT 909 APPENDIX A. AN INTRODUCTION TO MALLIAVIN CALCULUS 909 APPENDIX B. PROOFS 915 REFERENCES 922 CHAPTER 22 DUALITY THEORY AND APPROXIMATE DYNAMIC PROGRAMMING FOR PRICING AMERICAN OPTIONS AND PORTFOLIO OPTIMIZATION MARTIN B. HAUGH AND LEONID KOGAN 925 1 INTRODUCTION 925 2 PRICING AMERICAN OPTIONS 927 3 PORTFOLIO OPTIMIZATION 937 REFERENCES 947 CHAPTER 23 ASSET ALLOCATION WITH MULTIVARIATE NON-GAUSSIAN RETURNS DILIP B. MADAN AND JU-YI J. YEN 949 1 INTRODUCTION 949 2 NON-GAUSSIAN INVESTMENT 951 3 MODELING DISTRIBUTIONS 953 XII CONTENTS 4 EXPONENTIAL UTILITY AND INVESTMENT IN ZERO COST VG CASH FLOWS 955 5 IDENTIFYING THE JOINT DISTRIBUTION OF RETURNS 958 6 NON-GAUSSIAN AND GAUSSIAN INVESTMENT COMPARED 960 7 CONCLUSION 962 APPENDIX A. FORMAL ANALYSIS OF SKEWNESS PREFERENCE AND KURTOSIS AVERSION 963 APPENDIX B. PROOF OF THEOREM 4.1 964 APPENDIX C. PROOF OF THEOREM 4.2 966 REFERENCES 968 CHAPTER 24 LARGE DEVIATION TECHNIQUES AND FINANCIAL APPLICATIONS PHELIM BOYLE, SHUI FENG AND WEIDONG TIAN 971 1 INTRODUCTION 971 2 LARGE DEVIATION TECHNIQUES 972 3 APPLICATIONS TO PORTFOLIO MANAGEMENT 979 4 TAIL RISK OF PORTFOLIOS 986 5 APPLICATION TO SIMULATION 987 6 INCOMPLETE MARKETS 992 7 CONCLUSIONS AND POTENTIAL TOPICS FOR FUTURE RESEARCH 997 ACKNOWLEDGEMENTS 998 REFERENCES 998 SUBJECT INDEX 1001 PPN: 275787842 TITEL: FINANCIAL ENGINEERING / ED. BY JOHN R. BIRGE .... - . - AMSTERDAM : ELSEVIER, 2008 ISBN: 978-0-444-51781-4 BIBLIOGRAPHISCHER DATENSATZ IM SWB-VERBUND
adam_txt	CONTENTS I. INTRODUCTION INTRODUCTION TO THE HANDBOOK OF FINANCIAL ENGINEERING JOHN R. BIRGE AND VADIM LINETSKY 3 REFERENCES 11 CHAPTER 1 AN INTRODUCTION TO FINANCIAL ASSET PRICING ROBERT A. JARROW AND PHILIP PROTTER 13 1 INTRODUCTION 13 2 INTRODUCTION TO DERIVATIVES AND ARBITRAGE 14 3 THE CORE OF THE THEORY 21 4 AMERICAN TYPE DERIVATIVES 60 ACKNOWLEDGEMENTS 67 REFERENCES 67 II. DERIVATIVE SECURITIES: MODELS AND METHODS CHAPTER 2 JUMP-DIFFUSION MODELS FOR ASSET PRICING IN FINANCIAL ENGINEERING S.G. KOU 73 1 INTRODUCTION 73 2 EMPIRICAL STYLIZED FACTS 75 3 MOTIVATION FOR JUMP-DIFFUSION MODELS $4 4 EQUILIBRIUM FOR GENERAL JUMP-DIFFUSION MODELS 89 5 BASIC SETTING FOR OPTION PRICING 92 6 PRICING CALL AND PUT OPTION VIA LAPLACE TRANSFORMS 94 7 FIRST PASSAGE TIMES 96 8 BARRIER AND LOOKBACK OPTIONS JQQ 9 ANALYTICAL APPROXIMATIONS FOR AMERICAN OPTIONS 103 10 EXTENSION OF THE JUMP-DIFFUSION MODELS TO MULTIVARIATE CASES 108 REFERENCES 1 \ 3 CHAPTER 3 MODELING FINANCIAL SECURITY RETURNS USING LEVY PROCESSES LIUREN WU 1 1 7 1 INTRODUCTION 117 VI CONTENTS 2 MODELING RETURN INNOVATION DISTRIBUTION USING LEVY PROCESSES 120 3 GENERATING STOCHASTIC VOLATILITY BY APPLYING STOCHASTIC TIME CHANGES 127 4 MODELING FINANCIAL SECURITY RETURNS WITH TIME-CHANGED LEVY PROCESSES 133 5 OPTION PRICING UNDER TIME-CHANGED LEVY PROCESSES 144 6 ESTIMATING LEVY PROCESSES WITH AND WITHOUT TIME CHANGES 155 7 CONCLUDING REMARKS 159 ACKNOWLEDGEMENTS 159 REFERENCES 160 CHAPTER 4 PRICING WITH WISHART RISK FACTORS CHRISTIAN GOURIEROUX AND RAZVAN SUFANA 163 1 INTRODUCTION 163 2 WISHART PROCESS 167 3 PRICING 172 4 EXAMPLES 175 5 CONCLUDING REMARKS 181 REFERENCES 181 CHAPTER 5 VOLATILITY FEDERICO M. BANDI AND JEFFREY R. RUSSELL 183 1 INTRODUCTION 183 2 A MODEL OF PRICE FORMATION WITH MICROSTRUCTURE EFFECTS 184 3 THE VARIANCE OF THE EQUILIBRIUM PRICE 186 4 SOLUTIONS TO THE INCONSISTENCY PROBLEM 191 5 EQUILIBRIUM PRICE VARIANCE ESTIMATION: DIRECTIONS FOR FUTURE WORK 202 6 THE VARIANCE OF MICROSTRUCTURE NOISE: A CONSISTENCY RESULT 210 7 THE BENEFIT OF CONSISTENCY: MEASURING MARKET QUALITY 210 8 VOLATILITY AND ASSET PRICING 216 ACKNOWLEDGEMENTS 217 REFERENCES 217 CHAPTER 6 SPECTRAL METHODS IN DERIVATIVES PRICING VADIM LINETSKY 223 1 INTRODUCTION 224 2 SELF-ADJOINT SEMIGROUPS IN HILBERT SPACES 230 3 ONE-DIMENSIONAL DIFFUSIONS: GENERAL RESULTS 237 4 ONE-DIMENSIONAL DIFFUSIONS: A CATALOG OF ANALYTICALLY TRACTABLE MODELS 253 5 SYMMETRIC MULTI-DIMENSIONAL DIFFUSIONS 285 6 INTRODUCING JUMPS AND STOCHASTIC VOLATILITY VIA TIME CHANGES 288 7 CONCLUSION 294 REFERENCES 294 CONTENTS VN CHAPTER 7 VARIATIONAL METHODS IN DERIVATIVES PRICING LIMING FENG, PAVLO KOVALOV, VADIM LINETSKY AND MICHAEL MARCOZZI 301 1 INTRODUCTION 302 2 EUROPEAN AND BARRIER OPTIONS IN THE BLACK-SCHOLES-MERTON MODEL 305 3 AMERICAN OPTIONS IN THE BLACK-SCHOLES-MERTON MODEL 315 4 GENERAL MULTI-DIMENSIONAL JUMP-DIFFUSION MODELS 320 5 EXAMPLES AND APPLICATIONS 329 6 SUMMARY 339 REFERENCES 340 CHAPTER 8 DISCRETE BARRIER AND LOOKBACK OPTIONS S.G. KOU 343 1 INTRODUCTION 343 2 A REPRESENTATION OF BARRIER OPTIONS VIA THE CHANGE OF NUMERAIRE ARGUMENT 348 3 CONVOLUTION, BROADIE-YAMAMOTO METHOD VIA THE FAST GAUSSIAN TRANSFORM, AND FENG-LINETSKY METHOD VIA HILBERT TRANSFORM 350 4 CONTINUITY CORRECTIONS 355 5 PERTURBATION METHOD 361 6 A LAPLACE TRANSFORM METHOD VIA SPITZER'S IDENTITY 363 7 WHICH METHOD TO USE 365 APPENDIX A. PROOF OF (1) 366 APPENDIX B. CALCULATION OF THE CONSTANT /3 368 REFERENCES 370 III. INTEREST RATE AND CREDIT RISK MODELS AND DERIVATIVES CHAPTER 9 TOPICS IN INTEREST RATE THEORY TOMAS BJORK 377 1 INTRODUCTION 377 2 BASICS 378 3 FORWARD RATE MODELS 381 4 CHANGE OF NUMERAIRE 387 5 LIBOR MARKET MODELS 390 6 NOTES 400 7 GEOMETRIC INTEREST RATE THEORY 400 8 CONSISTENCY AND INVARIANT MANIFOLDS 401 9 EXISTENCE OF NONLINEAR REALIZATIONS 411 10 POTENTIALS AND POSITIVE INTEREST 419 REFERENCES 434 VIII CONTENTS CHAPTER 10 CALCULATING PORTFOLIO CREDIT RISK PAUL GLASSERMAN 437 1 INTRODUCTION 437 2 PROBLEM SETTING 439 3 MODELS OF DEPENDENCE 444 4 CONDITIONAL LOSS DISTRIBUTIONS 451 5 UNCONDITIONAL LOSS DISTRIBUTIONS 457 6 IMPORTANCE SAMPLING 462 7 SUMMARY 467 REFERENCES 468 CHAPTER 11 VALUATION OF BASKET CREDIT DERIVATIVES IN THE CREDIT MIGRATIONS ENVI- RONMENT TOMASZ R. BIELECKI, STEPHANE CREPEY, MONIQUE JEANBLANC AND MAREK RUTKOWSKI 471 1 INTRODUCTION 472 2 NOTATION AND PRELIMINARY RESULTS 476 3 MARKOVIAN MARKET MODEL 481 4 CHANGES OF MEASURES AND MARKOVIAN NUMERAIRES 485 5 VALUATION OF SINGLE NAME CREDIT DERIVATIVES 492 6 VALUATION OF BASKET CREDIT DERIVATIVES 497 7 MODEL IMPLEMENTATION 500 REFERENCES 507 FV. INCOMPLETE MARKETS CHAPTER 12 INCOMPLETE MARKETS JEREMY STAUM 511 1 INTRODUCTION 511 2 THE OVER-THE-COUNTER MARKET 513 3 CAUSES OF INCOMPLETENESS 516 4 PRICING AND OPTIMIZATION 518 5 ISSUES IN PRICING AND EXPECTED UTILITY EXAMPLES 528 6 QUADRATICS 533 7 ENTROPY AND EXPONENTIAL UTILITY 536 8 LOSS, QUANTILES, AND PREDICTION 537 9 PRICING KERNEL RESTRICTIONS 540 10 AMBIGUITY AND ROBUSTNESS 544 11 CALIBRATION 550 12 CONCLUSION 551 ACKNOWLEDGEMENTS 554 APPENDIX A. DEFINITION OF INCOMPLETENESS AND FUNDAMENTAL THEOREMS 554 APPENDIX B. FINANCIAL PERSPECTIVES ON INCOMPLETENESS 556 REFERENCES 558 CONTENTS 1X CHAPTER 13 OPTION PRICING: REAL AND RISK-NEUTRAL DISTRIBUTIONS GEORGE M. CONSTANTINIDES, JENS CARSTEN JACKWERTH AND STYLIANOS PERRAKIS 565 1 INTRODUCTION 566 2 IMPLICATIONS OF THE ABSENCE OF ARBITRAGE 567 3 ADDITIONAL RESTRICTIONS IMPLIED BY UTILITY MAXIMIZATION 570 4 SPECIAL CASE: ONE PERIOD WITHOUT TRANSACTION COSTS 574 5 SPECIAL CASE: ONE PERIOD WITH TRANSACTION COSTS AND GENERAL PAYOFFS 578 6 SPECIAL CASE: TWO PERIODS WITHOUT TRANSACTION COSTS AND GENERAL PAYOFFS 579 7 SPECIAL CASE: TWO PERIODS WITH TRANSACTION COSTS AND GENERAL PAYOFFS 580 8 MULTIPLE PERIODS WITHOUT TRANSACTION COSTS AND WITH CONVEX PAYOFFS 581 9 MULTIPLE PERIODS WITH TRANSACTION COSTS AND WITH CONVEX PAYOFFS 583 10 EMPIRICAL RESULTS 585 11 CONCLUDING REMARKS 588 ACKNOWLEDGEMENTS 589 REFERENCES 589 CHAPTER 14 TOTAL RISK MINIMIZATION USING MONTE CARLO SIMULATIONS THOMAS F. COLEMAN, YUYING LI AND MARIA-CRISTINA PATRON 593 1 INTRODUCTION 593 2 DISCRETE HEDGING CRITERIA 599 3 TOTAL RISK MINIMIZATION IN THE BLACK-SCHOLES FRAMEWORK 603 4 TOTAL RISK MINIMIZATION IN A STOCHASTIC VOLATILITY FRAMEWORK 618 5 SHORTFALL RISK MINIMIZATION 625 6 CONCLUSIONS 632 REFERENCES 634 CHAPTER 15 QUEUING THEORETIC APPROACHES TO FINANCIAL PRICE FLUCTUATIONS ERHAN BAYRAKTAR, ULRICH HORST AND RONNIE SIRCAR 637 1 INTRODUCTION 638 2 AGENT-BASED MODELS OF FINANCIAL MARKETS 639 3 MICROSTRUCTURE MODELS WITH INERT INVESTORS 649 4 OUTLOOK AND CONCLUSION 671 ACKNOWLEDGEMENTS 674 REFERENCES 674 V. RISK MANAGEMENT CHAPTER 16 ECONOMIC CREDIT CAPITAL ALLOCATION AND RISK CONTRIBUTIONS HELMUT MAUSSER AND DAN ROSEN 681 1 INTRODUCTION 682 2 CREDIT PORTFOLIO MODELS AND GENERAL FRAMEWORK 684 X CONTENTS 3 CAPITAL ALLOCATION AND RISK CONTRIBUTIONS 688 4 CREDIT RISK CONTRIBUTIONS IN ANALYTICAL MODELS 693 5 NUMERICAL METHODS TO COMPUTE RISK CONTRIBUTIONS 701 6 CASE STUDIES 706 7 SUMMARY AND FURTHER RESEARCH 717 APPENDIX A 721 REFERENCES 724 CHAPTER 17 LIQUIDITY RISK AND OPTION PRICING THEORY ROBERT A. JARROW AND PHILIP PROTTER 727 1 INTRODUCTION 727 2 THE MODEL 729 3 THE EXTENDED FIRST FUNDAMENTAL THEOREM 733 4 THE EXTENDED SECOND FUNDAMENTAL THEOREM 735 5 EXAMPLE (EXTENDED BLACK-SCHOLES ECONOMY) 741 6 ECONOMIES WITH SUPPLY CURVES FOR DERIVATIVES 743 7 TRANSACTION COSTS 745 8 EXAMPLES OF SUPPLY CURVES 747 9 CONCLUSION 751 ACKNOWLEDGEMENT 751 APPENDIX A 751 REFERENCES 761 CHAPTER 18 FINANCIAL ENGINEERING: APPLICATIONS IN INSURANCE PHELIM BOYLE AND MARY HARDY 763 1 INTRODUCTION 763 2 INSURANCE PRODUCTS AND MARKETS 765 3 PREMIUM PRINCIPLES AND RISK MEASURES 768 4 RISK MANAGEMENT FOR LIFE INSURANCE 770 5 VARIABLE ANNUITIES 775 6 GUARANTEED ANNUITY OPTIONS 781 7 CONCLUSIONS 784 ACKNOWLEDGEMENTS 784 REFERENCES 785 VI. PORTFOLIO OPTIMIZATION CHAPTER 19 DYNAMIC PORTFOLIO CHOICE AND RISK AVERSION COSTIS SKIADAS 789 1 INTRODUCTION 789 2 OPTIMALITY AND STATE PRICING 793 3 RECURSIVE UTILITY 804 4 MODELING RISK AVERSION 814 CONTENTS XL 5 SCALE-INVARIANT SOLUTIONS 821 6 EXTENSIONS 833 ACKNOWLEDGEMENTS 839 REFERENCES 839 CHAPTER 20 OPTIMIZATION METHODS IN DYNAMIC PORTFOLIO MANAGEMENT JOHN R. BIRGE 845 1 INTRODUCTION 845 2 FORMULATION 846 3 APPROXIMATION METHODS 849 4 SOLUTION METHODS 857 5 EXTENSIONS AND CONCLUSIONS 860 ACKNOWLEDGEMENTS 861 REFERENCES 861 CHAPTER 21 SIMULATION METHODS FOR OPTIMAL PORTFOLIOS JEROME DETEMPLE, RENE GARCIA AND MARCEL RINDISBACHER 867 1 INTRODUCTION 867 2 THE CONSUMPTION-PORTFOLIO CHOICE PROBLEM 869 3 SIMULATION METHODS FOR PORTFOLIO COMPUTATION 878 4 ASYMPTOTIC PROPERTIES OF PORTFOLIO ESTIMATORS 887 5 PERFORMANCE EVALUATION: A NUMERICAL STUDY 903 6 CONCLUSION 907 ACKNOWLEDGEMENT 909 APPENDIX A. AN INTRODUCTION TO MALLIAVIN CALCULUS 909 APPENDIX B. PROOFS 915 REFERENCES 922 CHAPTER 22 DUALITY THEORY AND APPROXIMATE DYNAMIC PROGRAMMING FOR PRICING AMERICAN OPTIONS AND PORTFOLIO OPTIMIZATION MARTIN B. HAUGH AND LEONID KOGAN 925 1 INTRODUCTION 925 2 PRICING AMERICAN OPTIONS 927 3 PORTFOLIO OPTIMIZATION 937 REFERENCES 947 CHAPTER 23 ASSET ALLOCATION WITH MULTIVARIATE NON-GAUSSIAN RETURNS DILIP B. MADAN AND JU-YI J. YEN 949 1 INTRODUCTION 949 2 NON-GAUSSIAN INVESTMENT 951 3 MODELING DISTRIBUTIONS 953 XII CONTENTS 4 EXPONENTIAL UTILITY AND INVESTMENT IN ZERO COST VG CASH FLOWS 955 5 IDENTIFYING THE JOINT DISTRIBUTION OF RETURNS 958 6 NON-GAUSSIAN AND GAUSSIAN INVESTMENT COMPARED 960 7 CONCLUSION 962 APPENDIX A. FORMAL ANALYSIS OF SKEWNESS PREFERENCE AND KURTOSIS AVERSION 963 APPENDIX B. PROOF OF THEOREM 4.1 964 APPENDIX C. PROOF OF THEOREM 4.2 966 REFERENCES 968 CHAPTER 24 LARGE DEVIATION TECHNIQUES AND FINANCIAL APPLICATIONS PHELIM BOYLE, SHUI FENG AND WEIDONG TIAN 971 1 INTRODUCTION 971 2 LARGE DEVIATION TECHNIQUES 972 3 APPLICATIONS TO PORTFOLIO MANAGEMENT 979 4 TAIL RISK OF PORTFOLIOS 986 5 APPLICATION TO SIMULATION 987 6 INCOMPLETE MARKETS 992 7 CONCLUSIONS AND POTENTIAL TOPICS FOR FUTURE RESEARCH 997 ACKNOWLEDGEMENTS 998 REFERENCES 998 SUBJECT INDEX 1001 PPN: 275787842 TITEL: FINANCIAL ENGINEERING / ED. BY JOHN R. BIRGE . - . - AMSTERDAM : ELSEVIER, 2008 ISBN: 978-0-444-51781-4 BIBLIOGRAPHISCHER DATENSATZ IM SWB-VERBUND
any_adam_object	1
any_adam_object_boolean	1
author_GND	(DE-588)170238830
building	Verbundindex
bvnumber	BV022949669
callnumber-first	H - Social Science
callnumber-label	HG176
callnumber-raw	HG176.7
callnumber-search	HG176.7
callnumber-sort	HG 3176.7
callnumber-subject	HG - Finance
classification_rvk	QP 750
ctrlnum	(OCoLC)181420877 (DE-599)GBV538662077
dewey-full	658.15224
dewey-hundreds	600 - Technology (Applied sciences)
dewey-ones	658 - General management
dewey-raw	658.15224
dewey-search	658.15224
dewey-sort	3658.15224
dewey-tens	650 - Management and auxiliary services
discipline	Wirtschaftswissenschaften
discipline_str_mv	Wirtschaftswissenschaften
edition	1. ed.
format	Book
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01748nam a2200457 cb4500</leader><controlfield tag="001">BV022949669</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20140127 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">071107s2008 d\|\|\| \|\|\|\| 00\|\|\| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0444517812</subfield><subfield code="9">0-444-51781-2</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780444517814</subfield><subfield code="9">978-0-444-51781-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)181420877</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV538662077</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-20</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-634</subfield><subfield code="a">DE-384</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG176.7</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">658.15224</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 750</subfield><subfield code="0">(DE-625)141933:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Financial engineering</subfield><subfield code="c">ed. by John R. Birge ...</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam [u.a.]</subfield><subfield code="b">Elsevier</subfield><subfield code="c">2008</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 1014 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="490" ind1="1" ind2=" "><subfield code="a">Handbooks in operations research and management science</subfield><subfield code="v">15</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Financieel management</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Hedging</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Operations research</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risk management</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial engineering</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Financial Engineering</subfield><subfield code="0">(DE-588)4208404-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Financial Engineering</subfield><subfield code="0">(DE-588)4208404-0</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">Birge, John R.</subfield><subfield code="d">1956-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)170238830</subfield><subfield code="4">oth</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Handbooks in operations research and management science</subfield><subfield code="v">15</subfield><subfield code="w">(DE-604)BV002805695</subfield><subfield code="9">15</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">SWB Datenaustausch</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=016154157&sequence=000001&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:BVB01-016154157</subfield></datafield></record></collection>
id	DE-604.BV022949669
illustrated	Illustrated
index_date	2024-07-02T19:01:40Z
indexdate	2024-07-09T21:08:23Z
institution	BVB
isbn	0444517812 9780444517814
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-016154157
oclc_num	181420877
open_access_boolean
owner	DE-20 DE-12 DE-634 DE-384
owner_facet	DE-20 DE-12 DE-634 DE-384
physical	XII, 1014 S. graph. Darst.
publishDate	2008
publishDateSearch	2008
publishDateSort	2008
publisher	Elsevier
record_format	marc
series	Handbooks in operations research and management science
series2	Handbooks in operations research and management science
spelling	Financial engineering ed. by John R. Birge ... 1. ed. Amsterdam [u.a.] Elsevier 2008 XII, 1014 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Handbooks in operations research and management science 15 Includes bibliographical references and index Financieel management gtt Hedging gtt Operations research gtt Risk management gtt Financial engineering Financial Engineering (DE-588)4208404-0 gnd rswk-swf Financial Engineering (DE-588)4208404-0 s DE-604 Birge, John R. 1956- Sonstige (DE-588)170238830 oth Handbooks in operations research and management science 15 (DE-604)BV002805695 15 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016154157&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Financial engineering Handbooks in operations research and management science Financieel management gtt Hedging gtt Operations research gtt Risk management gtt Financial engineering Financial Engineering (DE-588)4208404-0 gnd
subject_GND	(DE-588)4208404-0
title	Financial engineering
title_auth	Financial engineering
title_exact_search	Financial engineering
title_exact_search_txtP	Financial engineering
title_full	Financial engineering ed. by John R. Birge ...
title_fullStr	Financial engineering ed. by John R. Birge ...
title_full_unstemmed	Financial engineering ed. by John R. Birge ...
title_short	Financial engineering
title_sort	financial engineering
topic	Financieel management gtt Hedging gtt Operations research gtt Risk management gtt Financial engineering Financial Engineering (DE-588)4208404-0 gnd
topic_facet	Financieel management Hedging Operations research Risk management Financial engineering Financial Engineering
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016154157&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV002805695
work_keys_str_mv	AT birgejohnr financialengineering

Verfügbarkeit

Es ist kein Print-Exemplar vorhanden.

Fernleihe Bestellen Achtung: Nicht im THWS-Bestand! Inhaltsverzeichnis

MARC

Datensatz im Suchindex

Es ist kein Print-Exemplar vorhanden.

Ähnliche Einträge