Market-Consistent Prices: An Introduction to Arbitrage Theory, Koch-Medina Pablo, Munari Cosimo
Автор: Delbaen Название: The Mathematics of Arbitrage ISBN: 3540219927 ISBN-13(EAN): 9783540219927 Издательство: Springer Рейтинг: Цена: 15372.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Presents a mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of no arbitrage. This title consists of seven papers, which analyzes the topic in the general framework of semi-martingale theory.
Описание: Chapters 1 and 2 motivate the subsequent analysis by introducing the `consistent preferences` approach, and by presenting ex- amples and concepts that are revisited throughout the book. Chapters 3 and 4 present the decision-theoretic framework and the belief operators that are used in later chapters.
Автор: Freddy Delbaen; Walter Schachermayer Название: The Mathematics of Arbitrage ISBN: 3642060307 ISBN-13(EAN): 9783642060304 Издательство: Springer Рейтинг: Цена: 11878.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: A Guided Tour to Arbitrage Theory.- The Story in a Nutshell.- Models of Financial Markets on Finite Probability Spaces.- Utility Maximisation on Finite Probability Spaces.- Bachelier and Black-Scholes.- The Kreps-Yan Theorem.- The Dalang-Morton-Willinger Theorem.- A Primer in Stochastic Integration.- Arbitrage Theory in Continuous Time: an Overview.- The Original Papers.- A General Version of the Fundamental Theorem of Asset Pricing (1994).- A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998).- The No-Arbitrage Property under a Change of Numйraire (1995).- The Existence of Absolutely Continuous Local Martingale Measures (1995).- The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997).- The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998).- A Compactness Principle for Bounded Sequences of Martingales with Applications (1999).
Автор: Karatzas, Ioannis Kardaras, Constantinos Название: Portfolio theory and arbitrage ISBN: 1470465981 ISBN-13(EAN): 9781470465988 Издательство: Mare Nostrum (Eurospan) Рейтинг: Цена: 10659.00 р. Наличие на складе: Поставка под заказ.
Описание: This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called ""Kelly"" or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization.The book contains a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.
Автор: Jiao Ying Et Al Название: Arbitrage, Credit And Informational Risks ISBN: 981460206X ISBN-13(EAN): 9789814602068 Издательство: World Scientific Publishing Рейтинг: Цена: 13464.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics.
Автор: Mario V. W?thrich Название: Market-Consistent Actuarial Valuation ISBN: 3319466356 ISBN-13(EAN): 9783319466354 Издательство: Springer Рейтинг: Цена: 6288.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities.
Topics covered are stochastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.
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