This 2001 handbook is a comprehensive reference work on mathematical finance, with chapters written by leading researchers.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Elyès Jouini is Professor of Mathematics at the University of Paris IX Dauphine. He is Visiting Associate Professor of Finance at the Stern School of Business, New York University, and Head of the Finance and Insurance Laboratory at CREST-INSEE.
Inhaltsangabe
Introduction; Part I. Option Pricing: Theory and Practice: 1. Arbitrage theory Yu. M. Kabanov; 2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp; 3. American options: symmetry properties J. Detemple; 4. Purely discontinuous asset price processes D. Madan; 5. Latent variable models for stochastic discount factors R. Garcia and É. Renault; 6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman; Part II. Interest Rate Modeling: 7. A geometric view of interest rate theory T. Bjork; 8. Towards a central interest rate model A. Brace, T. Dun and G. Barton; 9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela; 10. Libor market model with semimartingales F. Jamshidian; 11. Modeling of forward Libor and swap rates M. Rutkowski; Part III. Risk Management and Hedging: 12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski; 13. Towards a theory of volatility trading P. Carr and D. Madan; 14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman; 15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer; 16. A guided tour through quadratic hedging approaches M. Schweizer; Part IV. Utility Maximization: 17. Theory of portfolio optimization in markets with frictions J. Cvitanic; 18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.
Introduction; Part I. Option Pricing: Theory and Practice: 1. Arbitrage theory Yu. M. Kabanov; 2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp; 3. American options: symmetry properties J. Detemple; 4. Purely discontinuous asset price processes D. Madan; 5. Latent variable models for stochastic discount factors R. Garcia and É. Renault; 6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman; Part II. Interest Rate Modeling: 7. A geometric view of interest rate theory T. Bjork; 8. Towards a central interest rate model A. Brace, T. Dun and G. Barton; 9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela; 10. Libor market model with semimartingales F. Jamshidian; 11. Modeling of forward Libor and swap rates M. Rutkowski; Part III. Risk Management and Hedging: 12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski; 13. Towards a theory of volatility trading P. Carr and D. Madan; 14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman; 15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer; 16. A guided tour through quadratic hedging approaches M. Schweizer; Part IV. Utility Maximization: 17. Theory of portfolio optimization in markets with frictions J. Cvitanic; 18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.
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