Arbitrage, credit and informational risks:
Gespeichert in:
| Weitere Verfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Jersey ; London ; Singapore
World Scientific
[2014]
|
| Schriftenreihe: | Peking University series in mathematics
vol. 5 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | xii, 262 Seiten 24 cm |
| ISBN: | 9789814602068 9789814602075 |
Internformat
MARC
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| 020 | |a 9789814602075 |9 978-981-4602-07-5 | ||
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| 245 | 1 | 0 | |a Arbitrage, credit and informational risks |c editors, Caroline Hillairet, Ecole Polytechnique, France; Monique Jeanblanc, Université d'Evry, France; Ying Jiao, Université Lyon I, France |
| 264 | 1 | |a New Jersey ; London ; Singapore |b World Scientific |c [2014] | |
| 264 | 4 | |c © 2014 | |
| 300 | |a xii, 262 Seiten |c 24 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Peking University series in mathematics |v vol. 5 | |
| 500 | |a Literaturangaben | ||
| 650 | 4 | |a Arbitrage / Mathematical models | |
| 650 | 4 | |a Credit / Management | |
| 650 | 4 | |a Options (Finance) / Prices | |
| 650 | 4 | |a Stochastic analysis | |
| 650 | 4 | |a Mathematisches Modell | |
| 700 | 1 | |a Hillairet, Caroline |4 edt | |
| 700 | 1 | |a Jeanblanc, Monique |d 1947- |0 (DE-588)171430689 |4 edt | |
| 700 | 1 | |a Jiao, Ying |0 (DE-588)1015247377 |4 edt | |
| 830 | 0 | |a Peking University series in mathematics |v vol. 5 |w (DE-604)BV021821556 |9 5 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027474943&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027474943 | ||
Datensatz im Suchindex
| _version_ | 1804152455656636416 |
|---|---|
| adam_text | Titel: Arbitrage, credit and informational risks
Autor: Hillairet, Caroline
Jahr: 2014
Contents
Preface
Arbitrage
No-arbitrage Conditions and Absolutely Continuous Changes
of Measure
Claudio Fontana
A Systematic Approach to Constructing Market Models with
Arbitrage
Johannes Ruf, Wolfgang J. Runggaldier
On the Existence of Martingale Measures in Jump Diffusion
Market Models
Jacopo Mancin, Wolfgang J. Runggaldier
Arbitrages in a Progressive Enlargement Setting
Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
Credit Risk
Pricing Credit Derivatives with a Structural Default Model
Sébastien Hitier, Ying Zhu
vii
1
3
19
29
53
87
89
Reduced-Form Modeling of Counterparty Risk on
Credit Derivatives 103
Stéphane Crépey
Dynamic One-default Model 119
Shiqi Song
Stochastic Sensitivity Study for Optimal Credit Allocation 147
Laurence Carassus, Simone Scotti
Control Problem and Information Risks 169
Discrete-Time Multi-Player Stopping and Quitting
Games with Redistribution of Payoffs 171
Ivan Guo, Marek Rutkowski
A Note on BSDEs with Singular Driver Coefficients 207
Monique Jeanblanc, Anthony Réveillac
A Portfolio Optimization Problem with Two Prices
Generated by Two Information Flows 225
Caroline Hillairet
Option Pricing under Stochastic Volatility, Jumps and Cost
of Information 241
Sana Mahfoudh, Monique Pontier
|
| any_adam_object | 1 |
| author2 | Hillairet, Caroline Jeanblanc, Monique 1947- Jiao, Ying |
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| author_facet | Hillairet, Caroline Jeanblanc, Monique 1947- Jiao, Ying |
| building | Verbundindex |
| bvnumber | BV042033514 |
| classification_rvk | SK 980 |
| ctrlnum | (OCoLC)890068913 (DE-599)BVBBV042033514 |
| discipline | Mathematik |
| format | Book |
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| id | DE-604.BV042033514 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:10:59Z |
| institution | BVB |
| isbn | 9789814602068 9789814602075 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027474943 |
| oclc_num | 890068913 |
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| owner | DE-19 DE-BY-UBM DE-11 |
| owner_facet | DE-19 DE-BY-UBM DE-11 |
| physical | xii, 262 Seiten 24 cm |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | World Scientific |
| record_format | marc |
| series | Peking University series in mathematics |
| series2 | Peking University series in mathematics |
| spelling | Arbitrage, credit and informational risks editors, Caroline Hillairet, Ecole Polytechnique, France; Monique Jeanblanc, Université d'Evry, France; Ying Jiao, Université Lyon I, France New Jersey ; London ; Singapore World Scientific [2014] © 2014 xii, 262 Seiten 24 cm txt rdacontent n rdamedia nc rdacarrier Peking University series in mathematics vol. 5 Literaturangaben Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis Mathematisches Modell Hillairet, Caroline edt Jeanblanc, Monique 1947- (DE-588)171430689 edt Jiao, Ying (DE-588)1015247377 edt Peking University series in mathematics vol. 5 (DE-604)BV021821556 5 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027474943&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Arbitrage, credit and informational risks Peking University series in mathematics Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis Mathematisches Modell |
| title | Arbitrage, credit and informational risks |
| title_auth | Arbitrage, credit and informational risks |
| title_exact_search | Arbitrage, credit and informational risks |
| title_full | Arbitrage, credit and informational risks editors, Caroline Hillairet, Ecole Polytechnique, France; Monique Jeanblanc, Université d'Evry, France; Ying Jiao, Université Lyon I, France |
| title_fullStr | Arbitrage, credit and informational risks editors, Caroline Hillairet, Ecole Polytechnique, France; Monique Jeanblanc, Université d'Evry, France; Ying Jiao, Université Lyon I, France |
| title_full_unstemmed | Arbitrage, credit and informational risks editors, Caroline Hillairet, Ecole Polytechnique, France; Monique Jeanblanc, Université d'Evry, France; Ying Jiao, Université Lyon I, France |
| title_short | Arbitrage, credit and informational risks |
| title_sort | arbitrage credit and informational risks |
| topic | Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis Mathematisches Modell |
| topic_facet | Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis Mathematisches Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027474943&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV021821556 |
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