Option pricing, interest rates and risk management:
This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points...
Saved in:
| Other Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2001
|
| Series: | Handbooks in mathematical finance
|
| Subjects: | |
| Online Access: | BSB01 EUV01 FHN01 Volltext |
| Summary: | This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material |
| Physical Description: | 1 Online-Ressource (xvi, 669 Seiten) |
| ISBN: | 9780511569708 |
| DOI: | 10.1017/CBO9780511569708 |
Staff View
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| contents | Arbitrage theory / Yu. M. Kabanov -- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp -- American options : symmetry properties / J. Detemple -- Purely discontinuous asset price processes / D.B. Madan -- Latent variable models for stochastic discount factors / R. Garcia and É. Renault -- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman -- A geometric view of interest rate theory / T. Björk -- Towards a central interest rate model / A. Brace, T. Dun and G. Barton -- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela -- Modelling of forward Libor and swap rates / M. Rutkowski -- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski -- Towards a theory of volatility trading / P. Carr and D. Madan -- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman -- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer -- A guided tour through quadratic hedging approaches / M. Schweizer -- Theory of portfolio optimization in markets with frictions / J. Cvitanić -- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao |
| ctrlnum | (ZDB-20-CBO)CR9780511569708 (OCoLC)967687655 (DE-599)BVBBV043944956 |
| dewey-full | 332/.01/51 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/51 |
| dewey-search | 332/.01/51 |
| dewey-sort | 3332 11 251 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511569708 |
| format | Electronic eBook |
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| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV043944956 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:22Z |
| institution | BVB |
| isbn | 9780511569708 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029353925 |
| oclc_num | 967687655 |
| open_access_boolean | |
| owner | DE-12 DE-92 DE-521 |
| owner_facet | DE-12 DE-92 DE-521 |
| physical | 1 Online-Ressource (xvi, 669 Seiten) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO EUV_EK_CAM ZDB-20-CBO FHN_PDA_CBO |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Cambridge University Press |
| record_format | marc |
| series2 | Handbooks in mathematical finance |
| spelling | Option pricing, interest rates and risk management edited by E. Jouini, J. Cvitanić, Marek Musiela Cambridge Cambridge University Press 2001 1 Online-Ressource (xvi, 669 Seiten) txt rdacontent c rdamedia cr rdacarrier Handbooks in mathematical finance Arbitrage theory / Yu. M. Kabanov -- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp -- American options : symmetry properties / J. Detemple -- Purely discontinuous asset price processes / D.B. Madan -- Latent variable models for stochastic discount factors / R. Garcia and É. Renault -- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman -- A geometric view of interest rate theory / T. Björk -- Towards a central interest rate model / A. Brace, T. Dun and G. Barton -- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela -- Modelling of forward Libor and swap rates / M. Rutkowski -- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski -- Towards a theory of volatility trading / P. Carr and D. Madan -- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman -- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer -- A guided tour through quadratic hedging approaches / M. Schweizer -- Theory of portfolio optimization in markets with frictions / J. Cvitanić -- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material Mathematisches Modell Derivative securities / Prices / Mathematical models Interest rates / Mathematical models Risk management Securities / Mathematical models Zinstheorie (DE-588)4190933-1 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Hedging (DE-588)4123357-8 s 1\p DE-604 Zinstheorie (DE-588)4190933-1 s Zinsänderungsrisiko (DE-588)4067851-9 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Derivat Wertpapier (DE-588)4381572-8 s Optionspreistheorie (DE-588)4135346-8 s 3\p DE-604 Optionsgeschäft (DE-588)4043670-6 s 4\p DE-604 Finanzmathematik (DE-588)4017195-4 s 5\p DE-604 Jouini, Elyès 1965- Sonstige (DE-588)12404462X oth Cvitanić, Jakša 1962- (DE-588)124044662 edt Musiela, Marek 1950- (DE-588)124044719 edt Erscheint auch als Druck-Ausgabe 978-0-521-79237-0 (DE-604)BV013793887 https://doi.org/10.1017/CBO9780511569708 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 5\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Option pricing, interest rates and risk management Arbitrage theory / Yu. M. Kabanov -- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp -- American options : symmetry properties / J. Detemple -- Purely discontinuous asset price processes / D.B. Madan -- Latent variable models for stochastic discount factors / R. Garcia and É. Renault -- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman -- A geometric view of interest rate theory / T. Björk -- Towards a central interest rate model / A. Brace, T. Dun and G. Barton -- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela -- Modelling of forward Libor and swap rates / M. Rutkowski -- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski -- Towards a theory of volatility trading / P. Carr and D. Madan -- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman -- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer -- A guided tour through quadratic hedging approaches / M. Schweizer -- Theory of portfolio optimization in markets with frictions / J. Cvitanić -- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao Mathematisches Modell Derivative securities / Prices / Mathematical models Interest rates / Mathematical models Risk management Securities / Mathematical models Zinstheorie (DE-588)4190933-1 gnd Optionsgeschäft (DE-588)4043670-6 gnd Kreditrisiko (DE-588)4114309-7 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Hedging (DE-588)4123357-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4190933-1 (DE-588)4043670-6 (DE-588)4114309-7 (DE-588)4067851-9 (DE-588)4135346-8 (DE-588)4017195-4 (DE-588)4381572-8 (DE-588)4123357-8 (DE-588)4114528-8 (DE-588)4121590-4 (DE-588)4143413-4 |
| title | Option pricing, interest rates and risk management |
| title_auth | Option pricing, interest rates and risk management |
| title_exact_search | Option pricing, interest rates and risk management |
| title_full | Option pricing, interest rates and risk management edited by E. Jouini, J. Cvitanić, Marek Musiela |
| title_fullStr | Option pricing, interest rates and risk management edited by E. Jouini, J. Cvitanić, Marek Musiela |
| title_full_unstemmed | Option pricing, interest rates and risk management edited by E. Jouini, J. Cvitanić, Marek Musiela |
| title_short | Option pricing, interest rates and risk management |
| title_sort | option pricing interest rates and risk management |
| topic | Mathematisches Modell Derivative securities / Prices / Mathematical models Interest rates / Mathematical models Risk management Securities / Mathematical models Zinstheorie (DE-588)4190933-1 gnd Optionsgeschäft (DE-588)4043670-6 gnd Kreditrisiko (DE-588)4114309-7 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Hedging (DE-588)4123357-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Mathematisches Modell Derivative securities / Prices / Mathematical models Interest rates / Mathematical models Risk management Securities / Mathematical models Zinstheorie Optionsgeschäft Kreditrisiko Zinsänderungsrisiko Optionspreistheorie Finanzmathematik Derivat Wertpapier Hedging Risikomanagement Aufsatzsammlung |
| url | https://doi.org/10.1017/CBO9780511569708 |
| work_keys_str_mv | AT jouinielyes optionpricinginterestratesandriskmanagement AT cvitanicjaksa optionpricinginterestratesandriskmanagement AT musielamarek optionpricinginterestratesandriskmanagement |