1. Arbitrage theory in continuous time [2009]
- Book
- xx, 525 p. : ill. ; 25 cm.
- 1. Introduction-- 2. The Binomial Model-- 3. A More General One period Model-- 4. Stochastic Integrals-- 5. Differential Equations-- 6. Portfolio Dynamics-- 7. Arbitrage Pricing-- 8. Completeness and Hedging-- 9. Parity Relations and Delta Hedging-- 10. The Martingale Approach to Arbitrage Theory-- 11. The Mathematics of the Martingale Approach-- 12. Black-Scholes from a Martingale Point of View-- 13. Multidimensional Models: Classical Approach-- 14. Multidimensional Models: Martingale Approach-- 15. Incomplete Markets-- 16. Dividends-- 17. Currency Derivatives-- 18. Barrier Options-- 19. Stochastic Optimal Control-- 20. The Martingale Approach to Optimal Investment-- 21. Optimal Stopping Theory and American Options-- 22. Bonds and Interest Rates-- 23. Short Rate Models-- 24. Martingale Models for the Short Rate-- 25. Forward Rate Models-- 26. Change of Numeraire-- 27. LIBOR and Swap Market Models-- 28. Potentials and Positive Interest-- 29. Forwards and Futures-- A. Measure and Integration-- B. Probability Theory-- C. Martingales and Stopping Times.
- (source: Nielsen Book Data)9780199574742 20160528
(source: Nielsen Book Data)9780199574742 20160528
- 1. Introduction-- 2. The Binomial Model-- 3. A More General One period Model-- 4. Stochastic Integrals-- 5. Differential Equations-- 6. Portfolio Dynamics-- 7. Arbitrage Pricing-- 8. Completeness and Hedging-- 9. Parity Relations and Delta Hedging-- 10. The Martingale Approach to Arbitrage Theory-- 11. The Mathematics of the Martingale Approach-- 12. Black-Scholes from a Martingale Point of View-- 13. Multidimensional Models: Classical Approach-- 14. Multidimensional Models: Martingale Approach-- 15. Incomplete Markets-- 16. Dividends-- 17. Currency Derivatives-- 18. Barrier Options-- 19. Stochastic Optimal Control-- 20. The Martingale Approach to Optimal Investment-- 21. Optimal Stopping Theory and American Options-- 22. Bonds and Interest Rates-- 23. Short Rate Models-- 24. Martingale Models for the Short Rate-- 25. Forward Rate Models-- 26. Change of Numeraire-- 27. LIBOR and Swap Market Models-- 28. Potentials and Positive Interest-- 29. Forwards and Futures-- A. Measure and Integration-- B. Probability Theory-- C. Martingales and Stopping Times.
- (source: Nielsen Book Data)9780199574742 20160528
(source: Nielsen Book Data)9780199574742 20160528
Science Library (Li and Ma)
Science Library (Li and Ma) | Status |
---|---|
Stacks | |
HG6024 .A3 B567 2009 | Unknown On reserve at Li and Ma Science Library 2-hour loan |
MATH-238-01
- Course
- MATH-238-01 -- Mathematical Finance
- Instructor(s)
- Papanicolaou, George C.