MARC record from Internet Archive

LEADER: 04752cam 22003374a 4500
001 9920382730001661
005 20150423125727.0
008 010214s2001 nyua b 001 0 eng
010 $a 2001024030
020 $a0471402265 (acid-free paper)
035 $a(CSdNU)u98958-01national_inst
035 $a(Sirsi) l2001024030
035 $a(Sirsi) l2001024030
035 $a(Sirsi) 01-AAM-4319
035 $a 2001024030
040 $aDLC$cDLC$dDLC$dOrPss
042 $apcc
050 00 $aHG 4515.3$bS534 2001
100 1 $aShafer, Glenn,$d1946-
245 10 $aProbability and finance :$bit's only a game! /$cGlenn Shafer, Vladimir Vovk.
260 $aNew York :$bJ. Wiley & Sons,$cc2001.
300 $axi, 414 p. :$bill. ;$c24 cm.
440 0 $aWiley series in probability and statistics.$pFinancial engineering section
504 $aIncludes bibliographical references (p. 375-401) and index.
505 0 $aProbability and Finance as a Game -- A Game with the World -- The Protocol for a Probability Game -- The Fundamental Interpretative Hypothesis -- The Many Interpretations of Probability -- Game-Theoretic Probability in Fiannce -- Probability without Measure -- The Historical Context -- Probability before Kolmogorov -- Kolmogorov's Measure-Theoretic Framework -- Realized Randomness -- What is a Martingale? -- The Impossibility of a Gambling System -- Neosubjectivism -- The Bounded Strong Law of Large Numbers -- The Fair-Coin Game -- Forecasting a Bounded Variable -- Who Sets the Prices? -- Asymmetric Bounded Forecasting Games -- Appendix: The Computation of Strategies -- Kolmogorov's Strong Law of Large Numbers -- Two Statements of Kolmogorov's Strong Law -- Skeptic's Strategy -- Reality's Strategy -- The Unbounded Upper Forecasting Protocol -- A Martingale Strong Law -- Appendix: Martin's Theorem -- The Law of the Iterated Logarithm -- Unbounded Forecasting Protocols -- The Validity of the Iterated-Logarithm Bound -- The Sharpness of the Iterated-Logarithm Bound -- A Martingale Law of the Iterated Logarithm -- Appendix: Historical Comments -- Appendix: Kolmogorov's Finitary Interpretation -- The Weak Laws -- Bernoulli's Theorem -- De Moivre's Theorem -- A One-Sided Central Limit Theorem -- Appendix: The Gaussian Distribution -- Appendix: Stochastic Parabolic Potential Theory -- Lindeberg's Theorem -- Lindeberg Protocols -- Statement and Proof of the Theorem -- Examples of the Theorem -- Appendix: The Classical Central Limit Theorem -- The Generality of Probability Games -- Deriving the Measure-Theoretic Limit Theorems -- Coin Tossing -- Game-Theoretic Price and Probability -- Open Scientific Protocols -- Appendix: Ville's Theorem -- Appendix: A Brief Biography of Jean Ville -- Finance without Probability -- Game-Theoretic Probability in Finance -- The Behavior of Stock-Market Prices -- The Stochastic Black-Scholes Formula -- A Purely Game-Theoretic Black-Scholes Formula -- Informational Efficiency -- Appendix: Tweaking the Black-Scholes Model -- Appendix: On the Stochastic Theory -- Games for Pricing Options in Discrete Time -- Bachelier's Central Limit Theorem -- Bachelier Pricing in Discrete Time -- Black-Scholes Pricing in Discrete Time -- Hedging Error in Discrete Time -- Black-Scholes with Relative Variations for S -- Hedging Error with Relative Variations for S -- Games for Pricing Options in Continuous Time -- The Variation Spectrum -- Bachelier Pricing in Continuous Time -- Black-Scholes Pricing in Continuous Time -- The Game-Theoretic Source of the [check mark]dt Effect -- Appendix: Elements of Nonstandard Analysis -- Appendix: On the Diffusion Model -- The Generality of Game-Theoretic Pricing -- The Black-Scholes Formula with Interest -- Better Instruments for Black-Scholes -- Games for Price Processes with Jumps -- Appendix: The Stable and Infinitely Divisible Laws -- Games for American Options -- Market Protocols -- Comparing Financial Instruments -- Weak and Strong Prices -- Pricing an American Option -- Games for Diffusion Processes -- Game-Theoretic Diffusion Processes -- Ito's Lemma -- Game-Theoretic Black-Scholes Diffusion -- Appendix: The Nonstandard Interpretation -- Appendix: Related Stochastic Theory -- The Game-Theoretic Efficient-Market Hypothesis -- A Strong Law for a Securities Market -- The Iterated Logarithm for a Securities Market -- Weak Laws for a Securities Market -- Risk vs. Return -- Other Forms of the Efficient-Market Hypothesis.
650 0 $aInvestments$xMathematics.
650 0 $aStatistical decision.
650 0 $aFinancial engineering.
700 1 $aVovk, Vladimir,$d1960-
948 $a11/28/2001$b11/30/2001
999 $aHG 4515.3 S534 2001$wLC$c1$i31786101666250$d4/13/2004$f4/13/2004$g2 $lCIRCSTACKS$mNULS$rY$sY$tBOOK$u11/30/2001