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1. Multicriteria Portfolio Management
by Panos Xidonas, George Mavrotas, Theodore Krintas, John Psarras, Constantin Zopounidis
出版情報: New York, NY : Springer New York, 2012
シリーズ名: Springer Optimization and Its Applications ; 69
オンライン: http://dx.doi.org/10.1007/978-1-4614-3670-6
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2. Term-Structure Models : A Graduate Course
by Damir Filipovic
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2009
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-540-68015-4
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3. Continuous-time Stochastic Control and Optimization with Financial Applications
by Huyên Pham
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2009
シリーズ名: Stochastic Modelling and Applied Probability ; 61
オンライン: http://dx.doi.org/10.1007/978-3-540-89500-8
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4. Optimality and Risk - Modern Trends in Mathematical Finance : The Kabanov Festschrift
Delbaen, Freddy ; Stricker, Christophe ; Rásonyi, Miklós ; SpringerLink (Online service)
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2009
オンライン: http://dx.doi.org/10.1007/978-3-642-02608-9
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5. The Interval Market Model in Mathematical Finance : Game-Theoretic Methods
by Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin
出版情報: New York, NY : Springer New York : Imprint: Birkhäuser, 2013
シリーズ名: Static & Dynamic Game Theory: Foundations & Applications ;
オンライン: http://dx.doi.org/10.1007/978-0-8176-8388-7
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目次情報: 続きを見る
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
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6. Introduction to Quantitative Methods for Financial Markets
by Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
出版情報: Basel : Springer Basel : Imprint: Birkhäuser, 2013
シリーズ名: Compact Textbooks in Mathematics ;
オンライン: http://dx.doi.org/10.1007/978-3-0348-0519-3
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目次情報: 続きを見る
I Interest Rates
II Financial Products
III The No-Arbitrage Principle
IV European and American Options
The Binomial Option Pricing Model
VI The Black-Scholes Model
VII The Black-Scholes Formula
VIII Stock-Price Models
IX Interest Rate Models and the Valuation of Interest Rate Derivatives
X Numerical Tools
XI Simulation Methods
XII Calibrating Models – Inverse Problems
XIII Case Studies: Exotic Derivatives
XIV Portfolio-Optimization
XV Introduction to Credit Risk Models
I Interest Rates
II Financial Products
III The No-Arbitrage Principle
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7. Contract Theory in Continuous-Time Models
by Jakša Cvitanić, Jianfeng Zhang
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-642-14200-0
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目次情報: 続きを見る
Preface
PART I Introduction: 1.The Principal-Agent Problem
2.Single-Period Examples
PART II First Best. Risk Sharing under Full Information: 3.Linear Models with Project Selection, and Preview of Results
4.The General Risk Sharing Problem
PART III Second Best. Contracting Under Hidden Action- The Case of Moral Hazard: 5.The General Moral Hazard Problem
6.DeMarzo and Sannikov (2007), Biais et al (2007) – An Application to Capital Structure Problems: Optimal Financing of a Company
PART IV Third Best. Contracting Under Hidden Action and Hidden Type – The Case of Moral Hazard and Adverse Selection: 7.Controlling the Drift
8.Controlling the Volatility-Drift Trade-Off with the First-Best
PART IV Appendix: Backward SDEs and Forward-Backward SDEs
9.Introduction
10.Backward SDEs
11.Decoupled Forward Backward SDEs
12.Coupled Forward Backward SDEs
References
Index
Preface
PART I Introduction: 1.The Principal-Agent Problem
2.Single-Period Examples
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8. Interest Rate Modeling: Post-Crisis Challenges and Approaches. 1st ed. 2015
by Zorana Grbac, Wolfgang J. Runggaldier
出版情報: Cham : Springer International Publishing : Imprint: Springer, 2015
シリーズ名: SpringerBriefs in Quantitative Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-319-25385-5
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9. Advances in Dynamic Games : Applications to Economics, Management Science, Engineering, and Environmental Management
edited by Alain Haurie, Shigeo Muto, Leon A. Petrosjan, T. E. S. Raghavan
出版情報: Boston, MA : Birkhäuser Boston, 2006
シリーズ名: Annals of the International Society of Dynamic Games ; 8
オンライン: http://dx.doi.org/10.1007/0-8176-4501-2
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10. Elements of Mathematics for Economics and Finance
by Vassilis C. Mavron, Timothy N. Phillips
出版情報: London : Springer-Verlag London Limited, 2007
オンライン: http://dx.doi.org/10.1007/978-1-84628-561-5
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