Arbitrage, credit and informational risks:
Gespeichert in:
| Weitere Verfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; New Jersey
World Scientific
[2014]
|
| Schriftenreihe: | Peking University series in mathematics
v.5 |
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 FLA01 |
| Beschreibung: | Print version record |
| Beschreibung: | 1 online resource (xii, 262 pages .) |
| ISBN: | 9814602078 9789814602075 9789814602068 981460206X 1306566541 9781306566544 |
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| 245 | 1 | 0 | |a Arbitrage, credit and informational risks |c editors, Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France) |
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| 505 | 8 | |a 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 difusion 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 / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier | |
| 505 | 8 | |a This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics | |
| 650 | 7 | |a Arbitrage / Mathematical models |2 fast | |
| 650 | 7 | |a Credit / Management |2 fast | |
| 650 | 7 | |a Options (Finance) / Prices |2 fast | |
| 650 | 7 | |a Stochastic analysis |2 fast | |
| 650 | 4 | |a Arbitrage / Mathematical models | |
| 650 | 4 | |a Credit / Management | |
| 650 | 4 | |a Options (Finance) / Prices | |
| 650 | 4 | |a Stochastic analysis | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Arbitrage |x Mathematical models |a Credit |x Management |a Options (Finance) |x Prices |a Stochastic analysis | |
| 700 | 1 | |a Hillairet, Caroline |4 edt | |
| 700 | 1 | |a Jeanblanc-Picqué, Monique |d 1947- |4 edt | |
| 700 | 1 | |a Jiao, Ying |4 edt | |
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Datensatz im Suchindex
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| author2 | Hillairet, Caroline Jeanblanc-Picqué, Monique 1947- Jiao, Ying |
| author2_role | edt edt edt |
| author2_variant | c h ch m j p mjp y j yj |
| author_facet | Hillairet, Caroline Jeanblanc-Picqué, Monique 1947- Jiao, Ying |
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| 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 difusion 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 / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics |
| ctrlnum | (ZDB-4-EBA)ocn883645009 (OCoLC)883645009 (DE-599)BVBBV043958367 |
| dewey-full | 332.64/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 |
| dewey-search | 332.64/5 |
| dewey-sort | 3332.64 15 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043958367 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:44Z |
| institution | BVB |
| isbn | 9814602078 9789814602075 9789814602068 981460206X 1306566541 9781306566544 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029367071 |
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| spelling | Arbitrage, credit and informational risks editors, Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France) Singapore ; New Jersey World Scientific [2014] © 2014 1 online resource (xii, 262 pages .) txt rdacontent c rdamedia cr rdacarrier Peking University series in mathematics v.5 Print version record 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 difusion 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 / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics Arbitrage / Mathematical models fast Credit / Management fast Options (Finance) / Prices fast Stochastic analysis fast Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Arbitrage Mathematical models Credit Management Options (Finance) Prices Stochastic analysis Hillairet, Caroline edt Jeanblanc-Picqué, Monique 1947- edt Jiao, Ying edt |
| spellingShingle | Arbitrage, credit and informational risks 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 difusion 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 / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics Arbitrage / Mathematical models fast Credit / Management fast Options (Finance) / Prices fast Stochastic analysis fast Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Arbitrage Mathematical models Credit Management Options (Finance) Prices Stochastic analysis |
| 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 (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France) |
| title_fullStr | Arbitrage, credit and informational risks editors, Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France) |
| title_full_unstemmed | Arbitrage, credit and informational risks editors, Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France) |
| title_short | Arbitrage, credit and informational risks |
| title_sort | arbitrage credit and informational risks |
| topic | Arbitrage / Mathematical models fast Credit / Management fast Options (Finance) / Prices fast Stochastic analysis fast Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Arbitrage Mathematical models Credit Management Options (Finance) Prices Stochastic analysis |
| topic_facet | Arbitrage / Mathematical models Credit / Management Options (Finance) / Prices Stochastic analysis BUSINESS & ECONOMICS / Finance Mathematisches Modell Wirtschaft Arbitrage Mathematical models Credit Management Options (Finance) Prices Stochastic analysis |
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