Mathematics of Derivative SecuritiesMichael A. H. Dempster, Stanley R. Pliska Cambridge University Press, 13. 10. 1997 - Počet stran: 582 During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers. |
Obsah
Marco Frittelli Facoltà di Economia Università degli Studi di Milano Via Sigieri | 6 |
Option pricing and hedging in discrete time with transaction costs | 7 |
Simon Babbs First Vice President and Head of Quantitative Research First | 10 |
F Mercurio Tinbergen Institute Erasmus University Rotterdam Burg Oudlaan | 50 |
Characterisation of economic equilibria which support BlackScholes | 51 |
Some combinations of Asian Parisian and barrier options | 61 |
Comovement term structure and the valuation of energy spread options | 88 |
Pricing and hedging with smiles | 103 |
Mark H A Davis TokyoMitsubishi International plc 6 Broadgate London EC2M | 253 |
J Cvitanić 227 | 255 |
Bond and bond option pricing based on the current term structure | 271 |
Dynamic models for yield curve evolution | 294 |
General interestrate models and the universality of | 315 |
Swap derivatives in a Gaussian HJM framework | 336 |
Modelling bonds and derivatives with default risk | 369 |
Term structure modelling under alternative official regimes | 394 |
Option pricing in the presence of extreme fluctuations | 112 |
Convergence of Snell envelopes and critical prices in the American | 126 |
Filtering derivative security valuations from market prices | 141 |
Hedging long maturity commodity commitments with shortdated | 165 |
Alan Brace FMMA PO Box 731 Grosvenor Place Sydney 2000 Australia | 189 |
F Mercurio and T C F Vorst | 190 |
Option pricing in incomplete markets | 216 |
hedging and portfolio optimization | 235 |
Interest rate distributions yield curve modelling and monetary policy | 423 |
Lina ElJahel Department of Economics Birkbeck College 715 Gresse Street | 452 |
Numerical option pricing using conditioned diffusions | 457 |
Numerical valuation of crosscurrency swaps and swaptions | 473 |
Numerical methods for stochastic control problems in finance | 504 |
Simulation methods for option pricing | 528 |
| 543 | |
Běžně se vyskytující výrazy a sousloví
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Oblíbené pasáže
Strana vii - College of Business and Management, University of Maryland, College Park, MD 20742, USA...
Strana ix - ... the prize in economic sciences had been given for option-pricing theory provided unique and signal recognition to the rapidly advancing, but still relatively new discipline, within economics which relates mathematical finance theory and finance practice. The special sphere of finance within economics is the study of allocation and deployment of economic resources, both spatially and across time, in an uncertain environment.
Odkazy na tuto knihu
Hypermodels in Mathematical Finance: Modelling Via Infinitesimal Analysis Siu-Ah Ng Náhled není k dispozici. - 2003 |
Bibliografické údaje
| Název | Mathematics of Derivative Securities Isaac Newton Institute for Mathematical Sciences Cambridge: Publications of the Newton Institute – Svazek 15 Publications of the Newton Institute – Svazek 15, Isaac Newton Institute for Mathematical Sciences Cambridge, ISSN 1366-2651 Publications of the Newton Institute: Isaac Newton Institute for Mathematical Sciences – Svazek 15 |
| Redaktoři | Michael A. H. Dempster, Stanley R. Pliska |
| Vydání | ilustrované vydání, dotisk |
| Vydavatel | Cambridge University Press, 1997 |
| ISBN | 0521584248, 9780521584241 |
| Délka | Počet stran: 582 |
| Exportovat citaci | BiBTeX EndNote RefMan |