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Arbitrage, credit and informational ...

Hillairet, Caroline.

Arbitrage, credit and informational risks /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Arbitrage, credit and informational risks /editors, Caroline Hillairet, Monique Jeanblanc, Ying Jiao.
作者:	Hillairet, Caroline.
出版者:	New Jersey :World Scientific,c2014.
面頁冊數:	xii, 262 p. :ill. ;23 cm.
標題:	ArbitrageMathematical models.
ISBN:	9789814602068 (hbk.) :

Arbitrage, credit and informational risks /
Hillairet, Caroline.

Arbitrage, credit and informational risks /editors, Caroline Hillairet, Monique Jeanblanc, Ying Jiao. - New Jersey :World Scientific,c2014. - xii, 262 p. :ill. ;23 cm. - Peking university series in mathematics ;v. 6.

Includes bibliographical references and index.

Preface -- Arbitrage -- No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana -- A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier -- On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier -- Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc -- Credit risk -- Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo’s / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier.

ISBN: 9789814602068 (hbk.) :NT$2402

LCCN: 2014003080Subjects--Topical Terms:

245594
Arbitrage
--Mathematical models.

LC Class. No.: HG6024.A3 / H55 2014

Dewey Class. No.: 332.64/5

Arbitrage, credit and informational risks /
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245 1 0 $a Arbitrage, credit and informational risks / $c editors, Caroline Hillairet, Monique Jeanblanc, Ying Jiao.
260 $a New Jersey : $b World Scientific, $c c2014.
300 $a xii, 262 p. : $b ill. ; $c 23 cm.
490 0 $a Peking university series in mathematics ; $v v. 6
504 $a Includes bibliographical references and index.
505 0 $a Preface -- Arbitrage -- No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana -- A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier -- On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier -- Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc -- Credit risk -- Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo’s / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier.
650 0 $a Arbitrage $x Mathematical models. $3 245594
650 0 $a Credit $x Management. $3 174340
650 0 $a Options (Finance) $x Prices. $3 207696
650 0 $a Stochastic analysis. $3 183332