The interval market model in mathematical finance : game-theoretic methods
Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion Samuelson market model (also known as the Black-Scholes model because it is used in that most famous t...
সংরক্ষণ করুন:
| প্রধান লেখক: | , , , , , , |
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| বিন্যাস: | Livre numérique |
| ভাষা: | Anglais |
| প্রকাশিত: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| সংস্করন: | 1st ed. 2013. |
| মালা: | Static & Dynamic Game Theory: Foundations & Applications
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| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| টীকা: |
Description d'après la consultation, 2024-10-16 Numérisation de l'édition de New-York : Birkhauser, cop. 2013 La pagination de l'édition imprimée correspondante est de : XVI-343 p. Autre(s) contribution(s) : J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin (auteurs) Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • The Interval Market Model in Mathematical Finance, Game-theoretic Methods, Pierre Bernhard, Jacob C. Engwerda, Berebd Roorda, [et al.], New-York, Birkhauser, 2013, 1 vol. (XVI-343 p.), Static & dynamic game theory: Foundations & applications, 978-0-8176-8387-0 • The Interval Market Model in Mathematical Finance, Texte imprimé, 9780817683894 • The Interval Market Model in Mathematical Finance, Texte imprimé, 9781489985804 |
সূচিপত্রের সারণি:
- Preface Part I Revisiting Two Classic Results in Dynamic Portfolio Management Merton s Optimal Dynamic Portfolio Revisited Option Pricing: Classic Results Introduction Part II Hedging in Interval Models Fair Price Intervals Optimal Hedging Under Robust-Cost Constraints Appendix: Proofs Continuous and Discrete-Time Option Pricing and Interval Market Model Part III Robust-Control Approach to Option Pricing Vanilla Options Digital Options Validation Introduction Part IV Game-Theoretic Analysis of Rainbow Options in Incomplete Markets Emergence of Risk-Neutral Probabilities Rainbow Options in Discrete Time, I Rainbow Options in Discrete Time, II Continuous-Time Limits Credit Derivatives Computational Methods Based on the Guaranteed Capture Basin Algorithm Viability Approach to Complex Option Pricing and Portfolio Insurance Asset and Liability Insurance Management (ALIM) for Risk Eradication References Index.