Financial modeling : A backward stochastic differential equations perspective
Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Al...
Enregistré dans:
| Hovedforfatter: | |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Udgivelse: | 1st ed. 2013. |
| Serier: | Springer Finance Textbooks
|
| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Financial Modeling, Texte imprimé, 9783642371141 • Financial Modeling, Texte imprimé, 9783642442520 • Financial modeling, a backward stochastic differential equations perspective, Stéphane Crépey, Heidelberg, Springer, 2013, 1 vol. (XIX-459 p.), Springer finance textbooks, 978-3-642-37112-7 |
| LEADER | 05412nam a22003617a 4500 | ||
|---|---|---|---|
| 001 | 946598 | ||
| 008 | 130704q2000 xx ||| |||| 00| 0 eng d | ||
| 009 | PPN170491323 | ||
| 020 | |a 9783642371134 | ||
| 041 | 0 | |a eng | |
| 082 | |a 004 | ||
| 100 | 1 | |a Crépey, Stéphane, |d 19..-...., |c mathématicien. | |
| 245 | 1 | 0 | |a Financial modeling : |b A backward stochastic differential equations perspective |c by Stéphane Crépey. |
| 250 | |a 1st ed. 2013. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Springer Finance Textbooks |x 2945-9125 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a Part I: An Introductory Course in Stochastic Processes 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes 3.Elements of Stochastic Analysis Part II: Pricing Equations 4.Martingale Modeling 5.Benchmark Models Part III: Numerical Solutions 6.Monte Carlo Methods 7.Tree Methods 8.Finite Differences 9.Callibration Methods Part IV: Applications 10.Simulation/ Regression Pricing Schemes in Diffusive Setups 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups Part V: Jump-Diffusion Setup with Regime Switching (**) 12.Backward Stochastic Differential Equations 13.Analytic Approach 14.Extensions Part VI: Appendix A.Technical Proofs (**) B.Exercises C.Corrected Problem Sets | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey s book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics. Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance | ||
| 650 | |a Finances |x Modèles mathématiques | ||
| 776 | 0 | |t Financial Modeling |b Texte imprimé |z 9783642371141 | |
| 776 | 0 | |t Financial Modeling |b Texte imprimé |z 9783642442520 | |
| 776 | 0 | |0 188183574 |t Financial modeling |o a backward stochastic differential equations perspective |f Stéphane Crépey |c Heidelberg |n Springer |d 2013 |p 1 vol. (XIX-459 p.) |s Springer finance textbooks |z 978-3-642-37112-7 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-3-642-37113-4 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-DWNV7R5S-4 |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:747821771 |u https://ezproxy.univ-orleans.fr/login?url=https://dx.doi.org/10.1007/978-3-642-37113-4 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:750838523 |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-3-642-37113-4 |z Accès INSA CVL | |
| 997 | |0 946598 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||