Finance at Fields
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| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New Jersey [u.a.]
World Scientific
2013
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| Online-Zugang: | Inhaltsverzeichnis |
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MARC
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| 005 | 20130304 | ||
| 007 | t| | ||
| 008 | 130130s2013 xx d||| |||| 00||| eng d | ||
| 020 | |a 9789814407885 |c hbk |9 978-981-4407-88-5 | ||
| 035 | |a (OCoLC)828790596 | ||
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| 084 | |a MAT 607f |2 stub | ||
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| 084 | |a WIR 170f |2 stub | ||
| 245 | 1 | 0 | |a Finance at Fields |c Matheus R. Grasselli ; Lane P. Hughston, eds. |
| 264 | 1 | |a New Jersey [u.a.] |b World Scientific |c 2013 | |
| 300 | |a XIII, 583 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Literaturangaben | ||
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Grasselli, Matheus |e Sonstige |4 oth | |
| 710 | 2 | |a Fields Institute for Research in Mathematical Sciences |e Sonstige |0 (DE-588)5098483-4 |4 oth | |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-025691084 | |
Datensatz im Suchindex
| DE-BY-TUM_call_number | 0048 WIR 160f 2013 A 1182 |
|---|---|
| DE-BY-TUM_katkey | 1908589 |
| DE-BY-TUM_location | LSB |
| DE-BY-TUM_media_number | 040071476498 |
| _version_ | 1820852556879888384 |
| adam_text | Titel: Finance at Fields
Autor: Grasselli, Matheus
Jahr: 2013
CONTENTS
Preface: Reflections on the Crisis and a Glimpse at the Future v
of Mathematical Finance
Matheus R. Grasselli and Lane P. Hughston
1. Heat Kernel Interest Rate Models with Time-Inhomogeneous 1
Markov Processes
Jiro Akahori and Andrea Macrina
2. Stress Testing the Resilience of Financial Networks 17
Hamed Amini, Rama Cont and Andreea Minca
3. Managing Corporate Liquidity: Strategies and Pricing Implications 37
Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan
4. Valuation and Hedging of CDS Counterparty Exposure in a 75
Markov Copula Model
T. R. Bielecki, S. Crepey, M. Jeanblanc and B. Zargari
5. Information-Based Asset Pricing 115
Dorje C. Brody, Lane P. Hughston and Andrea Macrina
6. Tangent Models as a Mathematical Framework for 151
Dynamic Calibration
Rene Carrnona and Sergey Nadtochiy
7. Composition of Time-Consistent Dynamic Monetary Risk Measures 181
in Discrete Time
Patrick Cheridito and Michael Kupper
8. Target Volatility Option Pricing 207
Giuseppe Di Graziano and Lorenzo Torricelli
9. Conditional Density Models for Asset Pricing 225
Damir Filipovic, Lane P. Hughston and Andrea Macrina
10. Monetary Valuation of Cash Flows Under Knightian Uncertainty 249
Hans Follmer and Irina Penner
11. Portfolio Optimization Under Partial Information with 265
Expert Opinions
Riidiger Frey, Abdelali Gabih and Ralf Wunderlich
12. On the Penalty Function and on Continuity Properties of 283
Risk Measures
Marco Frittelli and Emanuela Rosazza Gianin
13. Conditional Certainty Equivalent 307
Marco Frittelli and Marco Maggis
14. Pricing of Perpetual American Options in a Model with 327
Partial Information
Pavel V. Gapeev
15. Optimal Investment on Finite Horizon with Random Discrete Order 349
Flow in Illiquid Markets
Paul Gassiat, Huyen Pham and Mihai Sirbu
16. Optimal Trade Execution Under Geometric Brownian Motion in the 373
Almgren and Chriss Framework
Jim Gatheral and Alexander Schied
17. The Heat-Kernel Most-Likely-Path Approximation 389
Jim Gatheral and Tai-Ho Wang
18. Forward and Future Implied Volatility 407
Paul Glasserman and Qi Wu
19. Absolutely Continuous Compensators 433
Svante Janson, Sokhna M Baye and Philip Protter
20. Conic Finance and the Corporate Balance Sheet 451
Dilip B. Madan and Wim Schoutens
21. Optimal Exercise of an Executive Stock Option by an Insider 475
Michael Monoyios and Andrew Ng
22. Initial Investment Choice and Optimal Future Allocations Under 499
Time-Monotone Performance Criteria
M. Musiela and T. Zariphopoulou
23. Performance of Robust Hedges for Digital Double Barrier Options 521
Jan Obloj and Frederik Ulmer
24. CDO Term Structure Modelling with Levy Processes and the 555
Relation to Market Models
Thorsten Schmidt and Jerzy Zabczyk
Index 575
|
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| building | Verbundindex |
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| classification_tum | MAT 607f WIR 160f WIR 170f |
| ctrlnum | (OCoLC)828790596 (DE-599)GBV727392824 |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| genre_facet | Aufsatzsammlung |
| id | DE-604.BV040710742 |
| illustrated | Illustrated |
| indexdate | 2024-12-24T03:05:59Z |
| institution | BVB |
| institution_GND | (DE-588)5098483-4 |
| isbn | 9789814407885 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025691084 |
| oclc_num | 828790596 |
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| owner | DE-91G DE-BY-TUM |
| owner_facet | DE-91G DE-BY-TUM |
| physical | XIII, 583 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | World Scientific |
| record_format | marc |
| spellingShingle | Finance at Fields Risikomanagement (DE-588)4121590-4 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4017195-4 (DE-588)4143413-4 |
| title | Finance at Fields |
| title_auth | Finance at Fields |
| title_exact_search | Finance at Fields |
| title_full | Finance at Fields Matheus R. Grasselli ; Lane P. Hughston, eds. |
| title_fullStr | Finance at Fields Matheus R. Grasselli ; Lane P. Hughston, eds. |
| title_full_unstemmed | Finance at Fields Matheus R. Grasselli ; Lane P. Hughston, eds. |
| title_short | Finance at Fields |
| title_sort | finance at fields |
| topic | Risikomanagement (DE-588)4121590-4 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Risikomanagement Finanzmathematik Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025691084&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT grassellimatheus financeatfields AT fieldsinstituteforresearchinmathematicalsciences financeatfields |