The Interval Market Model in Mathematical Finance : Game-Theoretic Methods

フォーマット:

電子ブック

責任表示:

by Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin

言語:

英語

出版情報:

New York, NY : Springer New York : Imprint: Birkhäuser, 2013

形態:

XVI, 346 p. 64 illus : digital

著者名:

Bernhard, Pierre

Engwerda, Jacob C.

Roorda, Berend

Schumacher, J.M.

Kolokoltsov, Vassili

Saint-Pierre, Patrick

Aubin, Jean-Pierre

SpringerLink (Online service)

続きを見る

シリーズ名:

Static & Dynamic Game Theory: Foundations & Applications ;

目次情報:

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
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.

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

続きを見る

書誌ID:

IT00007170

ISBN:

9780817683887 [0817683887]      
9780817683870 [0817683879]