Introduction to mathematical finance: Discrete time models
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Malden, Mass. [u.a.]
Blackwell
2007
|
| Ausgabe: | Reprinted |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 262 S. graph. Darst. |
| ISBN: | 9781557869456 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV023185826 | ||
| 003 | DE-604 | ||
| 005 | 20080310 | ||
| 007 | t | ||
| 008 | 080227s2007 d||| |||| 00||| eng d | ||
| 020 | |a 9781557869456 |9 978-1-55786-945-6 | ||
| 035 | |a (OCoLC)255019437 | ||
| 035 | |a (DE-599)BVBBV023185826 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-739 | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 100 | 1 | |a Pliska, Stanley R. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Introduction to mathematical finance |b Discrete time models |c Stanley R. Pliska |
| 250 | |a Reprinted | ||
| 264 | 1 | |a Malden, Mass. [u.a.] |b Blackwell |c 2007 | |
| 300 | |a IX, 262 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkttheorie |0 (DE-588)4137411-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4123623-3 |a Lehrbuch |2 gnd-content | |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Kapitalmarkttheorie |0 (DE-588)4137411-3 |D s |
| 689 | 1 | 1 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 1 | |8 1\p |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Passau |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016372296&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016372296 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Datensatz im Suchindex
| _version_ | 1804137455241134080 |
|---|---|
| adam_text | Contents
Preface
v
Acknowledgments x
1
Single Period Securities Markets
1
1.1
Model Specifications
1
1.2
Arbitrage and Other Economic Considerations
4
1.3
Risk Neutral Probability Measures
11
1.4
Valuation of Contingent Claims
16
1.5
Complete and Incomplete Markets
21
1.6
Risk and Return
28
2
Single Period Consumption and Investment
33
2.1
Optimal Portfolios and Viability
33
2.2
Risk Neutral Computational Approach
37
2.3
Consumption Investment Problems
40
2.4
Mean-Variance Portfolio Analysis
47
2.5
Portfolio Management with Short Sales Restrictions and
Similar Constraints
52
2.6
Optimal Portfolios in Incomplete Markets
58
2.7
Equilibrium Models
64
3
Multiperiod Securities Markets
72
3.1
Model Specifications, Filtrations, and Stochastic Processes
72
3.2
Return and Dividend Processes
84
3.3
Conditional Expectation and Martingales
88
3.4
Economic Considerations
92
3.5
The Binomial Model
100
3.6
Markov Models
106
4
Options, Futures, and Other Derivatives
112
4.1
Contingent Claims
112
4.2
European Options Under the Binomial Model
120
4.3
American
Options
124
4.4
Complete and Incomplete
Markets
133
4.5
Forward Prices and Cash Stream Valuation
136
4.6
Futures
140
5
Optimal Consumption and Investment Problems
149
5.1
Optimal Portfolios and Dynamic Programming
149
5.2
Optimal Portfolios and Martingale Methods
156
5.3
Consumption-Investment and Dynamic Programming
162
5.4
Consumption-Investment and Martingale Methods
168
5.5
Maximum Utility from Consumption and Terminal Wealth
173
5.6
Optimal Portfolios with Constraints
178
5.7
Optimal Consumption-Investment with Constraints
184
5.8
Portfolio Optimization in Incomplete Markets
193
6
Bonds and Interest Rate Derivatives
200
6.1
The Basic Term Structure Model
200
6.2
Lattice, Markov Chain Models
208
6.3
Yield Curve Models
217
6.4
Forward Risk Adjusted Probability Measures
222
6.5
Coupon Bonds and Bond Options
227
6.6
Swaps and Swaptions
229
6.7
Caps and Floors
234
7
Models with Infinite Sample Spaces
238
7.1
Finite Horizon Models
238
7.2
Infinite Horizon Models
243
Appendix: Linear Programming
250
Bibliography
254
Index
257
|
| adam_txt |
Contents
Preface
v
Acknowledgments x
1
Single Period Securities Markets
1
1.1
Model Specifications
1
1.2
Arbitrage and Other Economic Considerations
4
1.3
Risk Neutral Probability Measures
11
1.4
Valuation of Contingent Claims
16
1.5
Complete and Incomplete Markets
21
1.6
Risk and Return
28
2
Single Period Consumption and Investment
33
2.1
Optimal Portfolios and Viability
33
2.2
Risk Neutral Computational Approach
37
2.3
Consumption Investment Problems
40
2.4
Mean-Variance Portfolio Analysis
47
2.5
Portfolio Management with Short Sales Restrictions and
Similar Constraints
52
2.6
Optimal Portfolios in Incomplete Markets
58
2.7
Equilibrium Models
64
3
Multiperiod Securities Markets
72
3.1
Model Specifications, Filtrations, and Stochastic Processes
72
3.2
Return and Dividend Processes
84
3.3
Conditional Expectation and Martingales
88
3.4
Economic Considerations
92
3.5
The Binomial Model
100
3.6
Markov Models
106
4
Options, Futures, and Other Derivatives
112
4.1
Contingent Claims
112
4.2
European Options Under the Binomial Model
120
4.3
American
Options
124
4.4
Complete and Incomplete
Markets
133
4.5
Forward Prices and Cash Stream Valuation
136
4.6
Futures
140
5
Optimal Consumption and Investment Problems
149
5.1
Optimal Portfolios and Dynamic Programming
149
5.2
Optimal Portfolios and Martingale Methods
156
5.3
Consumption-Investment and Dynamic Programming
162
5.4
Consumption-Investment and Martingale Methods
168
5.5
Maximum Utility from Consumption and Terminal Wealth
173
5.6
Optimal Portfolios with Constraints
178
5.7
Optimal Consumption-Investment with Constraints
184
5.8
Portfolio Optimization in Incomplete Markets
193
6
Bonds and Interest Rate Derivatives
200
6.1
The Basic Term Structure Model
200
6.2
Lattice, Markov Chain Models
208
6.3
Yield Curve Models
217
6.4
Forward Risk Adjusted Probability Measures
222
6.5
Coupon Bonds and Bond Options
227
6.6
Swaps and Swaptions
229
6.7
Caps and Floors
234
7
Models with Infinite Sample Spaces
238
7.1
Finite Horizon Models
238
7.2
Infinite Horizon Models
243
Appendix: Linear Programming
250
Bibliography
254
Index
257 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Pliska, Stanley R. |
| author_facet | Pliska, Stanley R. |
| author_role | aut |
| author_sort | Pliska, Stanley R. |
| author_variant | s r p sr srp |
| building | Verbundindex |
| bvnumber | BV023185826 |
| classification_rvk | QP 890 |
| ctrlnum | (OCoLC)255019437 (DE-599)BVBBV023185826 |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | Reprinted |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01640nam a2200409 c 4500</leader><controlfield tag="001">BV023185826</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080310 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080227s2007 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781557869456</subfield><subfield code="9">978-1-55786-945-6</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)255019437</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023185826</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-739</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="100" ind1="1" ind2=" "><subfield code="a">Pliska, Stanley R.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Introduction to mathematical finance</subfield><subfield code="b">Discrete time models</subfield><subfield code="c">Stanley R. Pliska</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">Reprinted</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Malden, Mass. [u.a.]</subfield><subfield code="b">Blackwell</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">IX, 262 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">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkttheorie</subfield><subfield code="0">(DE-588)4137411-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4123623-3</subfield><subfield code="a">Lehrbuch</subfield><subfield code="2">gnd-content</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=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Kapitalmarkttheorie</subfield><subfield code="0">(DE-588)4137411-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Passau</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=016372296&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:BVB01-016372296</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV023185826 |
| illustrated | Illustrated |
| index_date | 2024-07-02T20:03:07Z |
| indexdate | 2024-07-09T21:12:34Z |
| institution | BVB |
| isbn | 9781557869456 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016372296 |
| oclc_num | 255019437 |
| open_access_boolean | |
| owner | DE-739 |
| owner_facet | DE-739 |
| physical | IX, 262 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Blackwell |
| record_format | marc |
| spelling | Pliska, Stanley R. Verfasser aut Introduction to mathematical finance Discrete time models Stanley R. Pliska Reprinted Malden, Mass. [u.a.] Blackwell 2007 IX, 262 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Kapitalmarkttheorie (DE-588)4137411-3 s Zeitreihenanalyse (DE-588)4067486-1 s 1\p DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016372296&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Pliska, Stanley R. Introduction to mathematical finance Discrete time models Finanzmathematik (DE-588)4017195-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4137411-3 (DE-588)4067486-1 (DE-588)4123623-3 |
| title | Introduction to mathematical finance Discrete time models |
| title_auth | Introduction to mathematical finance Discrete time models |
| title_exact_search | Introduction to mathematical finance Discrete time models |
| title_exact_search_txtP | Introduction to mathematical finance Discrete time models |
| title_full | Introduction to mathematical finance Discrete time models Stanley R. Pliska |
| title_fullStr | Introduction to mathematical finance Discrete time models Stanley R. Pliska |
| title_full_unstemmed | Introduction to mathematical finance Discrete time models Stanley R. Pliska |
| title_short | Introduction to mathematical finance |
| title_sort | introduction to mathematical finance discrete time models |
| title_sub | Discrete time models |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Finanzmathematik Kapitalmarkttheorie Zeitreihenanalyse Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016372296&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT pliskastanleyr introductiontomathematicalfinancediscretetimemodels |