Hypermodels in mathematical finance modelling via infinitesimal analysis

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1. Verfasser: Ng, Siu-Ah (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: River Edge, N.J. World Scientific c2003
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245 1 0 |a Hypermodels in mathematical finance  |b modelling via infinitesimal analysis  |c Siu-Ah Ng 
264 1 |a River Edge, N.J.  |b World Scientific  |c c2003 
300 |a 1 Online-Ressource (xiii, 298 p.) 
336 |b txt  |2 rdacontent 
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500 |a Includes bibliographical references (p. 289-294) and index 
500 |a Cover -- Preface -- Contents -- Notation and Convention -- Chapter 1 Basic Concepts and Practice in Finance -- 1.1 Introducing mathematical finance -- 1.2 Basic securities -- 1.2.1 Stocks -- 1.2.2 Bonds -- 1.2.3 Others: bank accounts, currencies and commodities -- 1.3 Derivative securities -- 1.3.1 Options -- 1.3.2 Other derivative securities -- 1.4 Theory and practice -- Chapter 2 Infinitesimal Analysis and Hypermodels -- 2.1 Motivations -- 2.2 Hypermodels and analysis -- Chapter 3 Absence of Arbitrage -- 3.1 Introduction -- 3.2 Absence of arbitrage and the binary tree hypermodel -- 3.2.1 A mini-model -- 3.2.2 Binary tree model -- 3.2.3 Binary tree hypermodel -- 3.2.4 Finiteness of stock prices -- 3.2.5 Risk-neutral measure for binary tree hypermodel -- 3.3 Black-Scholes type PDE from virtually arbitrage-free -- 3.3.1 Virtually arbitrage free -- Chapter 4 Explicit Option Pricing -- 4.1 From hypermodel to PDE -- 4.1.1 Barrier conditions for derivative claims --  
500 |a  - 4.1.2 Tangible price processes -- 4.1.3 Differential equations in a hypermodel -- 4.1.4 Black-Scholes type PDE -- 4.2 Pricing options explicitly -- 4.2.1 The classical Black-Scholes formula -- 4.3 The barrier option -- 4.4 The American option -- Chapter 5 Pricing with Binary Tree Hypermodels -- 5.1 Hypermodels for the Cox-Ross-Rubinstein approach -- 5.2 The CRR matrix and Examples -- Chapter 6 Further Applications -- 6.1 Sensitivity analysis -- 6.1.1 The Greeks -- 6.1.2 Computing the Greeks from translating -- 6.2 Implied volatility -- 6.3 Term structure of interest rates -- Chapter 7 The Mathematics of Hypermodels -- 7.1 Mathematical logic and Classical Hyperanalysis -- 7.1.1 Logic and hypermodels *R -- 7.1.2 Construction of *R using the compactness theorem -- 7.1.3 Construction of *R using ultrapowers -- 7.1.4 Some basic properties of hypermodel *R -- 7.1.5 Hypermodels of R in richer languages -- 7.1.6 Some examples -- 7.1.7 References -- 7.2 The hyperuniverse --  
500 |a  - 7.2.1 Doing mathematics in the language of set theory -- 7.2.2 Hyperuniverse and the hyperextension -- 7.2.3 The existence of the hyperextension -- 7.2.4 Applications and examples -- 7.2.5 References -- 7.3 Hyperanalysis of probability -- 7.3.1 The Loeb measure construction -- 7.3.2 Loeb integration theory -- 7.3.3 Some examples -- 7.4 Hypermodels of Brownian Motion -- 7.4.1 Anderson's discrete hypermodel of Brownian motion --  
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500 |a At the beginning of the new millennium, two unstoppable processes aretaking place in the world: (1) globalization of the economy; (2)information revolution. As a consequence, there is greaterparticipation of the world population in capital market investment,such as bonds and stocks and their derivatives 
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Datensatz im Suchindex

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any_adam_object
author Ng, Siu-Ah
author_facet Ng, Siu-Ah
author_role aut
author_sort Ng, Siu-Ah
author_variant s a n san
building Verbundindex
bvnumber BV043151800
collection ZDB-4-EBA
ctrlnum (OCoLC)228115550
(DE-599)BVBBV043151800
dewey-full 332.6
dewey-hundreds 300 - Social sciences
dewey-ones 332 - Financial economics
dewey-raw 332.6
dewey-search 332.6
dewey-sort 3332.6
dewey-tens 330 - Economics
discipline Wirtschaftswissenschaften
format Electronic
eBook
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id DE-604.BV043151800
illustrated Not Illustrated
indexdate 2024-12-24T04:43:25Z
institution BVB
isbn 1281876909
9781281876904
9789810244286
9789812564528
9810244282
9812564527
language English
oai_aleph_id oai:aleph.bib-bvb.de:BVB01-028575991
oclc_num 228115550
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physical 1 Online-Ressource (xiii, 298 p.)
psigel ZDB-4-EBA
ZDB-4-EBA FAW_PDA_EBA
publishDate 2003
publishDateSearch 2003
publishDateSort 2003
publisher World Scientific
record_format marc
spelling Ng, Siu-Ah Verfasser aut
Hypermodels in mathematical finance modelling via infinitesimal analysis Siu-Ah Ng
River Edge, N.J. World Scientific c2003
1 Online-Ressource (xiii, 298 p.)
txt rdacontent
c rdamedia
cr rdacarrier
Includes bibliographical references (p. 289-294) and index
Cover -- Preface -- Contents -- Notation and Convention -- Chapter 1 Basic Concepts and Practice in Finance -- 1.1 Introducing mathematical finance -- 1.2 Basic securities -- 1.2.1 Stocks -- 1.2.2 Bonds -- 1.2.3 Others: bank accounts, currencies and commodities -- 1.3 Derivative securities -- 1.3.1 Options -- 1.3.2 Other derivative securities -- 1.4 Theory and practice -- Chapter 2 Infinitesimal Analysis and Hypermodels -- 2.1 Motivations -- 2.2 Hypermodels and analysis -- Chapter 3 Absence of Arbitrage -- 3.1 Introduction -- 3.2 Absence of arbitrage and the binary tree hypermodel -- 3.2.1 A mini-model -- 3.2.2 Binary tree model -- 3.2.3 Binary tree hypermodel -- 3.2.4 Finiteness of stock prices -- 3.2.5 Risk-neutral measure for binary tree hypermodel -- 3.3 Black-Scholes type PDE from virtually arbitrage-free -- 3.3.1 Virtually arbitrage free -- Chapter 4 Explicit Option Pricing -- 4.1 From hypermodel to PDE -- 4.1.1 Barrier conditions for derivative claims --
- 4.1.2 Tangible price processes -- 4.1.3 Differential equations in a hypermodel -- 4.1.4 Black-Scholes type PDE -- 4.2 Pricing options explicitly -- 4.2.1 The classical Black-Scholes formula -- 4.3 The barrier option -- 4.4 The American option -- Chapter 5 Pricing with Binary Tree Hypermodels -- 5.1 Hypermodels for the Cox-Ross-Rubinstein approach -- 5.2 The CRR matrix and Examples -- Chapter 6 Further Applications -- 6.1 Sensitivity analysis -- 6.1.1 The Greeks -- 6.1.2 Computing the Greeks from translating -- 6.2 Implied volatility -- 6.3 Term structure of interest rates -- Chapter 7 The Mathematics of Hypermodels -- 7.1 Mathematical logic and Classical Hyperanalysis -- 7.1.1 Logic and hypermodels *R -- 7.1.2 Construction of *R using the compactness theorem -- 7.1.3 Construction of *R using ultrapowers -- 7.1.4 Some basic properties of hypermodel *R -- 7.1.5 Hypermodels of R in richer languages -- 7.1.6 Some examples -- 7.1.7 References -- 7.2 The hyperuniverse --
- 7.2.1 Doing mathematics in the language of set theory -- 7.2.2 Hyperuniverse and the hyperextension -- 7.2.3 The existence of the hyperextension -- 7.2.4 Applications and examples -- 7.2.5 References -- 7.3 Hyperanalysis of probability -- 7.3.1 The Loeb measure construction -- 7.3.2 Loeb integration theory -- 7.3.3 Some examples -- 7.4 Hypermodels of Brownian Motion -- 7.4.1 Anderson's discrete hypermodel of Brownian motion --
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- wmsinpatronhtmlheader wmsinpatronmonthlyreport wmsreports x12sweep xmlchunker xmlcleanup xmlcleanupnew xmlcleanuptest xmlcomposition XmlCompositionRequest.xsd xmlcompositionservice xmljoiner XmlToolsLib.jar continuous hypermodels of Brownian motion -- 7.4.3 Some examples -- 7.5 It244; Integral and Stochastic Differential Equations -- 7.5.1 Some general remarks -- 7.5.2 Wiener integral and lt244; integral -- 7.5.3 It244;'s lemma and the Stratonovitch integral -- 7.6 Solving Stochastic differential equations -- 7.7 Malliavin calculus -- 7.8 White noise analysis -- 7.9 Universality and homogeneity properties of hyperfinite models -- Appendix
At the beginning of the new millennium, two unstoppable processes aretaking place in the world: (1) globalization of the economy; (2)information revolution. As a consequence, there is greaterparticipation of the world population in capital market investment,such as bonds and stocks and their derivatives
BUSINESS & ECONOMICS / Investments & Securities / General bisacsh
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Mathematisches Modell
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Infinitesimalanalysis (DE-588)4161657-1 gnd rswk-swf
Finanzmathematik (DE-588)4017195-4 gnd rswk-swf
Finanzmathematik (DE-588)4017195-4 s
1\p DE-604
Infinitesimalanalysis (DE-588)4161657-1 s
2\p DE-604
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=134085 Aggregator Volltext
1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk
2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk
spellingShingle Ng, Siu-Ah
Hypermodels in mathematical finance modelling via infinitesimal analysis
BUSINESS & ECONOMICS / Investments & Securities / General bisacsh
Investments / Mathematical models fast
Risk management / Mathematical models fast
Securities / Mathematical models fast
Mathematisches Modell
Wirtschaft
Investments Mathematical models
Securities Mathematical models
Risk management Mathematical models
Infinitesimalanalysis (DE-588)4161657-1 gnd
Finanzmathematik (DE-588)4017195-4 gnd
subject_GND (DE-588)4161657-1
(DE-588)4017195-4
title Hypermodels in mathematical finance modelling via infinitesimal analysis
title_auth Hypermodels in mathematical finance modelling via infinitesimal analysis
title_exact_search Hypermodels in mathematical finance modelling via infinitesimal analysis
title_full Hypermodels in mathematical finance modelling via infinitesimal analysis Siu-Ah Ng
title_fullStr Hypermodels in mathematical finance modelling via infinitesimal analysis Siu-Ah Ng
title_full_unstemmed Hypermodels in mathematical finance modelling via infinitesimal analysis Siu-Ah Ng
title_short Hypermodels in mathematical finance
title_sort hypermodels in mathematical finance modelling via infinitesimal analysis
title_sub modelling via infinitesimal analysis
topic BUSINESS & ECONOMICS / Investments & Securities / General bisacsh
Investments / Mathematical models fast
Risk management / Mathematical models fast
Securities / Mathematical models fast
Mathematisches Modell
Wirtschaft
Investments Mathematical models
Securities Mathematical models
Risk management Mathematical models
Infinitesimalanalysis (DE-588)4161657-1 gnd
Finanzmathematik (DE-588)4017195-4 gnd
topic_facet BUSINESS & ECONOMICS / Investments & Securities / General
Investments / Mathematical models
Risk management / Mathematical models
Securities / Mathematical models
Mathematisches Modell
Wirtschaft
Investments Mathematical models
Securities Mathematical models
Risk management Mathematical models
Infinitesimalanalysis
Finanzmathematik
url http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=134085
work_keys_str_mv AT ngsiuah hypermodelsinmathematicalfinancemodellingviainfinitesimalanalysis