Derivatives pricing: the classic collection
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2004
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXVII, 535 S. graph. Darst. |
| ISBN: | 1904339336 |
Internformat
MARC
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| 245 | 1 | 0 | |a Derivatives pricing |b the classic collection |c ed. by Peter Carr |
| 264 | 1 | |a London |b Risk Books |c 2004 | |
| 300 | |a XXVII, 535 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1804137636093231104 |
|---|---|
| adam_text | Contents
List of Contributors
ix
Introduction
xvii
Peter Can
Bloomberg LP
SECTION
1:
CLASSICS
1
Theory of Speculation
3
Louis
Bachelier
Deceased
2
The Pricing of Commodity Contracts
71
Fischer Black
Deceased
3
Bond Pricing and the Term Structure of Interest
Rates: A New Methodology for Contingent
Claims Valuation
87
David Heath; Robert ¡arrow; Andrew Morton
University of Illinois; Cornell University;
Lehman Brothers
4
Changes of
Numéraire,
Changes of Probability
Measure and Option Pricing
127
Helyette Geman;
Nicole el Karoui; Jean-Charles Rochet
University of Paris
Dauphine;
Ecole Polytechnique;
University of Toulouse
5
The Market Model of Interest Rate Dynamics
149
Alan Brace,
Marek
Musida;
Dariusz
Gqtarek
BNP Paribas; Capital
Markets
Group
SECTION
2:
HIDDEN GEMS
6
A Unified Theory of Volatility
185
Bruno Dupire
Bloomberg
7 Arbitrage
Pricing with Stochastic Volatility
197
Bruno Dupire
Bloomberg
8
A General Theory of Asset Valuation Under
Diffusion State Processes
217
Mark B. Gorman
Haas Business School
9
Probability of Loss on Loan Portfolio
257
Oldřich Alfons
Vasicek
MKMV
SECTION
3:
RISK HALL OF FAME
10
Quantitative Strategies Research Notes
263
Emanuel
Oerman;
Ira]
Kani
Columbia University;
Martingale
Technologies
11
Pricing with a Smile
285
Bruno Dupire
Bloomberg
12
A Generalised Framework for Credit Risk
Portfolio Models
295
H. Ugur Koyluoglu; Andrew Hickman
Mercer Oliver Wyman; ERisk
13
Correlation and Dependence in Risk Management:
Properties and Pitfalls
325
Paul Embrechts, Alexander McNeil, Daniel Straumann
ETHZ
14
Barrier Options
381
Mark Rubinstein; Eric Reiner
Haas Business School; UBS
AG
15
Thinking Coherently
395
Philippe Artzner; Freddy Delbaen;
Jean-Marc
Eber;
David Heath
University of Strasbourg; ETHZ; Lexifi Technologies;
Carnegie Mellon Pittsburgh
16
Static Simplicity
405
Jonathan Bowie, Peter Carr
Bloomberg
SECTION
4:
NOBEL
PRIZEWINNERS
17
The Pricing of Options and Corporate Liabilities
423
Fischer Black; Myron Scholes
Deceased; Oak Hill Capital
18
Theory of Rational Option Pricing
445
Robert
С
Merton
Harvard Business School
19
Autoregressive
Conditional Heteroscedasticity
with Estimates of the Variance of United Kingdom
Inflation
505
Robert
F. Engte
Stern School of Business
Index
531
|
| adam_txt |
Contents
List of Contributors
ix
Introduction
xvii
Peter Can
Bloomberg LP
SECTION
1:
CLASSICS
1
Theory of Speculation
3
Louis
Bachelier
Deceased
2
The Pricing of Commodity Contracts
71
Fischer Black
Deceased
3
Bond Pricing and the Term Structure of Interest
Rates: A New Methodology for Contingent
Claims Valuation
87
David Heath; Robert ¡arrow; Andrew Morton
University of Illinois; Cornell University;
Lehman Brothers
4
Changes of
Numéraire,
Changes of Probability
Measure and Option Pricing
127
Helyette Geman;
Nicole el Karoui; Jean-Charles Rochet
University of Paris
Dauphine;
Ecole Polytechnique;
University of Toulouse
5
The Market Model of Interest Rate Dynamics
149
Alan Brace,
Marek
Musida;
Dariusz
Gqtarek
BNP Paribas; Capital
Markets
Group
SECTION
2:
HIDDEN GEMS
6
A Unified Theory of Volatility
185
Bruno Dupire
Bloomberg
7 Arbitrage
Pricing with Stochastic Volatility
197
Bruno Dupire
Bloomberg
8
A General Theory of Asset Valuation Under
Diffusion State Processes
217
Mark B. Gorman
Haas Business School
9
Probability of Loss on Loan Portfolio
257
Oldřich Alfons
Vasicek
MKMV
SECTION
3:
RISK HALL OF FAME
10
Quantitative Strategies Research Notes
263
Emanuel
Oerman;
Ira]
Kani
Columbia University;
Martingale
Technologies
11
Pricing with a Smile
285
Bruno Dupire
Bloomberg
12
A Generalised Framework for Credit Risk
Portfolio Models
295
H. Ugur Koyluoglu; Andrew Hickman
Mercer Oliver Wyman; ERisk
13
Correlation and Dependence in Risk Management:
Properties and Pitfalls
325
Paul Embrechts, Alexander McNeil, Daniel Straumann
ETHZ
14
Barrier Options
381
Mark Rubinstein; Eric Reiner
Haas Business School; UBS
AG
15
Thinking Coherently
395
Philippe Artzner; Freddy Delbaen;
Jean-Marc
Eber;
David Heath
University of Strasbourg; ETHZ; Lexifi Technologies;
Carnegie Mellon Pittsburgh
16
Static Simplicity
405
Jonathan Bowie, Peter Carr
Bloomberg
SECTION
4:
NOBEL
PRIZEWINNERS
17
The Pricing of Options and Corporate Liabilities
423
Fischer Black; Myron Scholes
Deceased; Oak Hill Capital
18
Theory of Rational Option Pricing
445
Robert
С
Merton
Harvard Business School
19
Autoregressive
Conditional Heteroscedasticity
with Estimates of the Variance of United Kingdom
Inflation
505
Robert
F. Engte
Stern School of Business
Index
531 |
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| index_date | 2024-07-02T20:48:12Z |
| indexdate | 2024-07-09T21:15:26Z |
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| isbn | 1904339336 |
| language | English |
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| physical | XXVII, 535 S. graph. Darst. |
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| spelling | Derivatives pricing the classic collection ed. by Peter Carr London Risk Books 2004 XXVII, 535 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s DE-604 Carr, Peter Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016489631&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Derivatives pricing the classic collection Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4047103-2 (DE-588)4143413-4 |
| title | Derivatives pricing the classic collection |
| title_auth | Derivatives pricing the classic collection |
| title_exact_search | Derivatives pricing the classic collection |
| title_exact_search_txtP | Derivatives pricing the classic collection |
| title_full | Derivatives pricing the classic collection ed. by Peter Carr |
| title_fullStr | Derivatives pricing the classic collection ed. by Peter Carr |
| title_full_unstemmed | Derivatives pricing the classic collection ed. by Peter Carr |
| title_short | Derivatives pricing |
| title_sort | derivatives pricing the classic collection |
| title_sub | the classic collection |
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| topic_facet | Derivative securities Derivat Wertpapier Preisbildung Aufsatzsammlung |
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