Arbitrage, credit and informational risks /:
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...
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| Other Authors: | , , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore ; New Jersey :
World Scientific,
[2014]
|
| Series: | Peking University series in mathematics ;
v. 5. |
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| Summary: | 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. |
| Physical Description: | 1 online resource (xii, 262 pages .) |
| Bibliography: | Includes bibliographical references. |
| ISBN: | 9814602078 9789814602075 1306566541 9781306566544 9789814602082 9814602086 |
Staff View
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| 505 | 0 | |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. | |
| 588 | 0 | |a Print version record. | |
| 520 | |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. | ||
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| 650 | 0 | |a Stochastic analysis. |0 http://id.loc.gov/authorities/subjects/sh85128175 | |
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| 650 | 7 | |a Stochastic analysis |2 fast | |
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| author2 | 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. |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| indexdate | 2025-04-11T08:42:05Z |
| institution | BVB |
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| 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 (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France). Singapore ; New Jersey : World Scientific, [2014] ©2014 1 online resource (xii, 262 pages .) text txt rdacontent computer c rdamedia online resource cr rdacarrier Peking University series in mathematics ; Vol. 5 Includes bibliographical references. 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. Print version record. 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. Credit Management. http://id.loc.gov/authorities/subjects/sh85033858 Options (Finance) Prices. Stochastic analysis. http://id.loc.gov/authorities/subjects/sh85128175 Crédit Gestion. Options (Finances) Prix. Analyse stochastique. BUSINESS & ECONOMICS Finance. bisacsh Arbitrage Mathematical models fast Credit Management fast Options (Finance) Prices fast Stochastic analysis fast Electronic books. Hillairet, Caroline, editor. Jeanblanc-Picqué, Monique, 1947- editor. https://id.oclc.org/worldcat/entity/E39PBJd3Mth9cBxVQjrVF46HYP http://id.loc.gov/authorities/names/n95054457 Jiao, Ying, editor. has work: Arbitrage, credit and informational risks (Text) https://id.oclc.org/worldcat/entity/E39PCGXkvfjdcJKPx3BWQtRKr3 https://id.oclc.org/worldcat/ontology/hasWork Print version: Arbitrage, credit and informational risks. Singapore ; New Jersey : World Scientific, [2014] 9789814602068 981460206X (DLC) 2014003080 Peking University series in mathematics ; v. 5. http://id.loc.gov/authorities/names/no2006092820 |
| spellingShingle | Arbitrage, credit and informational risks / Peking University series in mathematics ; 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. Arbitrage Mathematical models. Credit Management. http://id.loc.gov/authorities/subjects/sh85033858 Options (Finance) Prices. Stochastic analysis. http://id.loc.gov/authorities/subjects/sh85128175 Crédit Gestion. Options (Finances) Prix. Analyse stochastique. BUSINESS & ECONOMICS Finance. bisacsh Arbitrage Mathematical models fast Credit Management fast Options (Finance) Prices fast Stochastic analysis fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85033858 http://id.loc.gov/authorities/subjects/sh85128175 |
| 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. Credit Management. http://id.loc.gov/authorities/subjects/sh85033858 Options (Finance) Prices. Stochastic analysis. http://id.loc.gov/authorities/subjects/sh85128175 Crédit Gestion. Options (Finances) Prix. Analyse stochastique. BUSINESS & ECONOMICS Finance. bisacsh Arbitrage Mathematical models fast Credit Management fast Options (Finance) Prices fast Stochastic analysis fast |
| topic_facet | Arbitrage Mathematical models. Credit Management. Options (Finance) Prices. Stochastic analysis. Crédit Gestion. Options (Finances) Prix. Analyse stochastique. BUSINESS & ECONOMICS Finance. Arbitrage Mathematical models Credit Management Options (Finance) Prices Stochastic analysis Electronic books. |
| work_keys_str_mv | AT hillairetcaroline arbitragecreditandinformationalrisks AT jeanblancpicquemonique arbitragecreditandinformationalrisks AT jiaoying arbitragecreditandinformationalrisks |