Arbitrage theory in continuous time /
Declaración de edición:tercera edición Publicado por : Oxford University Press (New York: ) Detalles físicos: 525 páginas; 24 cm ISBN:9780199574742.Tipo de ítem | Biblioteca actual | Colección | Signatura | Estado | Fecha de vencimiento | Código de barras | Reserva de ítems |
---|---|---|---|---|---|---|---|
Libros | Biblioteca Jorge Franco Vélez Colección General | General | 332.645 B626 Ej. 1 (Navegar estantería (Abre debajo)) | Disponible | 19318 |
Referencias: páginas 514-520
The binomial model -- A more general one period model -- Stochastic integrals -- Differential equations -- Portfolio dynamics -- Arbitrage pricing -- Completeness and hedging -- Parity relations and delta hedging -- The martingale approach to arbitrage theory -- The mathematics of the martingale approach -- Black-scholes from a martingale point of view -- Multidimensional models: classical approach -- Multidimensional models: martingale approach -- Incomplete markets -- Dividends -- Currency derivaties -- Barrier options -- Stochastic optimal control -- The martingale approach to optimal invesment -- Optimal stopping theory and american options -- Bonds and interest rates -- Short rate models -- Martingale models for the short rate -- Forward rate models -- Change of numeraire -- Libor and swap market models -- Potentials and positive interest -- Forwards and futures -- Measure and integartion -- Probability theory -- Martingales and stopping times
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