Option pricing, interest rates and risk management
| Otros Autores: | , , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge ; New York :
Cambridge University Press
2001.
|
| Colección: | CUP ebooks.
Handbooks in mathematical finance. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b39707106*spi |
Tabla de Contenidos:
- Arbitrage theory / Yu. M. Kabanov
- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp
- American options : symmetry properties / J. Detemple
- Purely discontinuous asset price processes / D.B. Madan
- Latent variable models for stochastic discount factors / R. Garcia and É. Renault
- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman
- A geometric view of interest rate theory / T. Björk
- Towards a central interest rate model / A. Brace, T. Dun and G. Barton
- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela
- Modelling of forward Libor and swap rates / M. Rutkowski
- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski
- Towards a theory of volatility trading / P. Carr and D. Madan
- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman
- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer
- A guided tour through quadratic hedging approaches / M. Schweizer
- Theory of portfolio optimization in markets with frictions / J. Cvitanić
- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao.
