| Description |
xvi, 669 pages : illustrations ; 26 cm |
| Series |
Handbooks in mathematical finance |
|
Handbooks in mathematical finance.
|
| Contents |
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 |
| Bibliography |
Includes bibliographical references |
| Subject |
Options (Finance) -- Prices -- Mathematical models.
|
|
Hedging (Finance) -- Mathematical models.
|
|
Investment analysis -- Mathematical models.
|
|
Derivative securities -- Prices -- Mathematical models.
|
|
Interest rates -- Mathematical models.
|
|
Risk management.
|
|
Securities -- Mathematical models.
|
| Author |
Musiela, Marek, 1950-
|
|
Jouini, E. (Elyès), 1965-
|
|
Cvitanić, Jakša.
|
| LC no. |
00052911 |
| ISBN |
0521792371 |
|
