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

• Κύριοι συγγραφείς: Bernhard, Pierre (Συγγραφέας), Engwerda, Jacob C. (Συγγραφέας), Roorda, Berend (Συγγραφέας), Schumacher, J.M (Συγγραφέας), Kolokoltsov, Vassili (Συγγραφέας), Saint-Pierre, Patrick (Συγγραφέας), Aubin, Jean-Pierre (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: New York, NY : Springer New York : Imprint: Birkhäuser, 2013.
• Σειρά: Static & Dynamic Game Theory: Foundations & Applications
• Θέματα: Mathematics.; Applied mathematics.; Engineering mathematics.; Game theory.; Economics, Mathematical.; Economic theory.; Game Theory, Economics, Social and Behav. Sciences.; Game Theory.; Quantitative Finance.; Economic Theory/Quantitative Economics/Mathematical Methods.; Applications of Mathematics.

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous...

Πίνακας περιεχομένων:

• 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
• Introduction
• 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.  .