Mathematics of Derivative Securities

Přední strana obálky
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.
 

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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
Bruno Dupire Paribas Capital Markets Swaps and Options Research Team
33
Stochastic calculus and Markov methods
35
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
Semimartingales and asset pricing under constraints
255
Bond and bond option pricing based on the current term structure
271
Dynamic models for yield curve evolution
294
B Flesaker and L P Hughston 294
313
Swap derivatives in a Gaussian HJM framework
336
Modelling bonds and derivatives with default risk
369
Term structure modelling under alternative official regimes
394
Interest rate distributions yield curve modelling and monetary policy
423

Pricing and hedging with smiles
107
Option pricing in the presence of extreme fluctuations
113
J P Bouchaud D Sornette and M Potters
126
F Mercurio and T C F Vorst
139
Filtering derivative security valuations from market prices
141
Hedging long maturity commodity commitments with shortdated
165
Option pricing in incomplete markets
216
hedging and portfolio optimization
235
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
H J Kushner
526
New methodologies for valuing derivatives
573
S H Paskou
580
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Strana v - College of Business and Management, University of Maryland, College Park, MD 20742, USA...
Strana vii - ... 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.

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