Financial modeling: a backward stochastic differential equations perspective
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2013
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| Schriftenreihe: | Springer finance textbooks
|
| Schlagworte: | |
| Online-Zugang: | BTU01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9783642371127 9783642371134 |
| DOI: | 10.1007/978-3-642-37113-4 |
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Datensatz im Suchindex
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| adam_text | FINANCIAL MODELING
/ CREPEY, STEPHANE
: 2013
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PART I: AN INTRODUCTORY COURSE IN STOCHASTIC PROCESSES
1.SOME CLASSES OF DISCRETE-TIME STOCHASTIC PROCESSES.-2.SOME CLASSES OF
CONTINUOUS-TIME STOCHASTIC PROCESSES
3.ELEMENTS OF STOCHASTIC ANALYSIS
PART II: PRICING EQUATIONS
4.MARTINGALE MODELING
5.BENCHMARK MODELS
PART III: NUMERICAL SOLUTIONS
6.MONTE CARLO METHODS
7.TREE METHODS
8.FINITE DIFFERENCES
9.CALLIBRATION METHODS
PART IV: APPLICATIONS
10.SIMULATION/ REGRESSION PRICING SCHEMES IN DIFFUSIVE SETUPS
11.SIMULATION/ REGRESSION PRICING SCHEMES IN PURE JUMP SETUPS
PART V: JUMP-DIFFUSION SETUP WITH REGIME SWITCHING (**)
12.BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
13.ANALYTIC APPROACH
14.EXTENSIONS
PART VI: APPENDIX
A.TECHNICAL PROOFS (**)
B.EXERCISES
C.CORRECTED PROBLEM SETS
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
FINANCIAL MODELING
/ CREPEY, STEPHANE
: 2013
ABSTRACT / INHALTSTEXT
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS (BSDES) PROVIDE A GENERAL
MATHEMATICAL FRAMEWORK FOR SOLVING PRICING AND RISK MANAGEMENT QUESTIONS
OF FINANCIAL DERIVATIVES. THEY ARE OF GROWING IMPORTANCE FOR NONLINEAR
PRICING PROBLEMS SUCH AS CVA COMPUTATIONS THAT HAVE BEEN DEVELOPED SINCE
THE CRISIS. ALTHOUGH BSDES ARE WELL KNOWN TO ACADEMICS, THEY ARE LESS
FAMILIAR TO PRACTITIONERS IN THE FINANCIAL INDUSTRY. IN ORDER TO FILL
THIS GAP, THIS BOOK REVISITS FINANCIAL MODELING AND COMPUTATIONAL
FINANCE FROM A BSDE PERSPECTIVE, PRESENTING A UNIFIED VIEW OF THE
PRICING AND HEDGING THEORY ACROSS ALL ASSET CLASSES. IT ALSO CONTAINS A
REVIEW OF QUANTITATIVE FINANCE TOOLS, INCLUDING FOURIER TECHNIQUES,
MONTE CARLO METHODS, FINITE DIFFERENCES AND MODEL CALIBRATION SCHEMES.
WITH A VIEW TO USE IN GRADUATE COURSES IN COMPUTATIONAL FINANCE AND
FINANCIAL MODELING, CORRECTED PROBLEM SETS AND MATLAB SHEETS HAVE BEEN
PROVIDED.STEPHANE CREPEY’S BOOK STARTS WITH A FEW CHAPTERS ON
CLASSICAL STOCHASTIC PROCESSES MATERIAL, AND THEN... FASTEN YOUR
SEATBELT... THE AUTHOR STARTS TRAVELING BACKWARDS IN TIME THROUGH
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS (BSDES). THIS DOES NOT MEAN
THAT ONE HAS TO READ THE BOOK BACKWARDS, LIKE A MANGA! RATHER, THE
POSSIBILITY TO MOVE BACKWARDS IN TIME, EVEN IF FROM A VARIETY OF FINAL
SCENARIOS FOLLOWING A PROBABILITY LAW, OPENS A MULTITUDE OF
POSSIBILITIES FOR ALL THOSE PRICING PROBLEMS WHOSE SOLUTION IS NOT A
STRAIGHTFORWARD EXPECTATION. FOR EXAMPLE, THIS ALLOWS FOR FRAMING
PROBLEMS LIKE PRICING WITH CREDIT AND FUNDING COSTS IN A RIGOROUS
MATHEMATICAL SETUP. THIS IS, AS FAR AS I KNOW, THE FIRST BOOK WRITTEN
FOR SEVERAL LEVELS OF AUDIENCES, WITH APPLICATIONS TO FINANCIAL MODELING
AND USING BSDES AS ONE OF THE MAIN TOOLS, AND AS THE SONG SAYS: IT S
NEVER AS GOOD AS THE FIRST TIME .DAMIANO BRIGO, CHAIR OF MATHEMATICAL
FINANCE, IMPERIAL COLLEGE LONDON WHILE THE CLASSICAL THEORY OF ARBITRAGE
FREE PRICING HAS MATURED, AND IS NOW WELL UNDERSTOOD AND USED BY THE
FINANCE INDUSTRY, THE THEORY OF BSDES CONTINUES TO ENJOY A RAPID GROWTH
AND REMAINS A DOMAIN RESTRICTED TO ACADEMIC RESEARCHERS AND A HANDFUL OF
PRACTITIONERS. CREPEY’S BOOK PRESENTS THIS NOVEL APPROACH TO A WIDER
COMMUNITY OF RESEARCHERS INVOLVED IN MATHEMATICAL MODELING IN FINANCE.
IT IS CLEARLY AN ESSENTIAL REFERENCE FOR ANYONE INTERESTED IN THE LATEST
DEVELOPMENTS IN FINANCIAL MATHEMATICS. MAREK MUSIELA, DEPUTY
DIRECTOR OF THE OXFORD-MAN INSTITUTE OF QUANTITATIVE FINANCE
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Crépey, Stéphane 1971- |
| author_GND | (DE-588)1037488725 |
| author_facet | Crépey, Stéphane 1971- |
| author_role | aut |
| author_sort | Crépey, Stéphane 1971- |
| author_variant | s c sc |
| building | Verbundindex |
| bvnumber | BV041233543 |
| classification_tum | MAT 000 |
| collection | ZDB-2-SMA |
| ctrlnum | (OCoLC)1075164406 (DE-599)DNB1035589605 |
| dewey-full | 004 |
| dewey-hundreds | 000 - Computer science, information, general works |
| dewey-ones | 004 - Computer science |
| dewey-raw | 004 |
| dewey-search | 004 |
| dewey-sort | 14 |
| dewey-tens | 000 - Computer science, information, general works |
| discipline | Informatik Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-642-37113-4 |
| format | Electronic eBook |
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| series2 | Springer finance textbooks |
| spelling | Crépey, Stéphane 1971- Verfasser (DE-588)1037488725 aut Financial modeling a backward stochastic differential equations perspective Stéphane Crépey Berlin [u.a.] Springer 2013 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Springer finance textbooks Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Simulation (DE-588)4055072-2 gnd rswk-swf Stochastisches Differentialgleichungssystem (DE-588)4225826-1 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s Hedging (DE-588)4123357-8 s Stochastisches Differentialgleichungssystem (DE-588)4225826-1 s Simulation (DE-588)4055072-2 s 1\p DE-604 https://doi.org/10.1007/978-3-642-37113-4 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026207856&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026207856&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Crépey, Stéphane 1971- Financial modeling a backward stochastic differential equations perspective Finanzmathematik (DE-588)4017195-4 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Simulation (DE-588)4055072-2 gnd Stochastisches Differentialgleichungssystem (DE-588)4225826-1 gnd Preisbildung (DE-588)4047103-2 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4123357-8 (DE-588)4381572-8 (DE-588)4055072-2 (DE-588)4225826-1 (DE-588)4047103-2 |
| title | Financial modeling a backward stochastic differential equations perspective |
| title_auth | Financial modeling a backward stochastic differential equations perspective |
| title_exact_search | Financial modeling a backward stochastic differential equations perspective |
| title_full | Financial modeling a backward stochastic differential equations perspective Stéphane Crépey |
| title_fullStr | Financial modeling a backward stochastic differential equations perspective Stéphane Crépey |
| title_full_unstemmed | Financial modeling a backward stochastic differential equations perspective Stéphane Crépey |
| title_short | Financial modeling |
| title_sort | financial modeling a backward stochastic differential equations perspective |
| title_sub | a backward stochastic differential equations perspective |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Simulation (DE-588)4055072-2 gnd Stochastisches Differentialgleichungssystem (DE-588)4225826-1 gnd Preisbildung (DE-588)4047103-2 gnd |
| topic_facet | Finanzmathematik Hedging Derivat Wertpapier Simulation Stochastisches Differentialgleichungssystem Preisbildung |
| url | https://doi.org/10.1007/978-3-642-37113-4 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026207856&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026207856&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT crepeystephane financialmodelingabackwardstochasticdifferentialequationsperspective |