MARC Record from marc_columbia

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001 15104287
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010 $a 2013045572
035 $a(OCoLC)ocn900464520
035 $a(NNC)15104287
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016 7 $a018373252$2Uk
019 $a906028147$a958083529$a958392535$a1066455346$a1156379300
020 $a9781466594036$q(electronic bk.)
020 $a1466594039$q(electronic bk.)
020 $z9781466594043
020 $z1466594047
020 $z9781482229172
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035 $a(OCoLC)900464520$z(OCoLC)906028147$z(OCoLC)958083529$z(OCoLC)958392535$z(OCoLC)1066455346$z(OCoLC)1156379300
037 $aCL0500000532$bSafari Books Online
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084 $aBUS027000$aMAT000000$aMAT029000$2bisacsh
049 $aZCUA
100 1 $aPrivault, Nicolas,$eauthor.
245 10 $aStochastic finance :$ban introduction with market examples /$cNicolas Privault.
264 1 $aBoca Raton, FL :$bCRC Press, A Taylor and Francis Group,$c[2014]
264 4 $c©2014
300 $a1 online resource (xvi, 420 pages) :$billustrations.
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
490 1 $aChapman & Hall/CRC financial mathematics series
588 0 $aPrint version record.
500 $a"A Chapman & Hall book."
504 $aIncludes bibliographical references (pages 415-420).
520 $a"This comprehensive text presents an introduction to pricing and hedging in financial models, with an emphasis on analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance. The book starts with the basics of finance and stochastic calculus and builds up to special topics, such as options, derivatives, and credit default and jump processes. Many real examples illustrate the topics and classroom-tested exercises are included in each chapter, with selected solutions at the back of the book"--$cProvided by publisher.
520 $a"Preface This text is an introduction to pricing and hedging in discrete and continuous time financial models without friction (i.e. without transaction costs), with an emphasis on the complementarity between analytical and probabilistic methods. Its contents are mostly mathematical, and also aim at making the reader aware of both the power and limitations of mathematical models in finance, by taking into account their conditions of applicability. The book covers a wide range of classical topics including Black-Scholes pricing, exotic and american options, term structure modeling and change of num eraire, as well as models with jumps. It is targeted at the advanced undergraduate and graduate level in applied mathematics, financial engineering, and economics. The point of view adopted is that of mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless pro t based on arbitrage opportunities and basic (buying low/selling high) trading. Similarly, this document is not concerned with any "prediction" of stock price behaviors that belong other domains such as technical analysis, which should not be confused with the statistical modeling of asset prices. The text also includes 104 gures and simulations, along with about 20 examples based on actual market data. The descriptions of the asset model, self- nancing portfolios, arbitrage and market completeness, are rst given in Chapter 1 in a simple two time-step setting. These notions are then reformulated in discrete time in Chapter 2. Here, the impossibility to access future information is formulated using the notion of adapted processes, which will play a central role in the construction of stochastic calculus in continuous time"--$cProvided by publisher.
505 0 $aPortfolios and Arbitrage; Definitions and Formalism; Portfolio Allocation and Short-Selling; Arbitrage; Risk-Neutral Measures; Hedging of Contingent Claims; Market Completeness; Example; Exercises; ; Discrete-Time Model; Stochastic Processes; Portfolio Strategies; Arbitrage; Contingent Claims; Martingales and Conditional Expectation; Risk-Neutral Probability Measures; Market Completeness; Cox{Ross{Rubinstein (CRR) Market Model; Exercises; ; Pricing and Hedging in Discrete Time; Pricing of Contingent Claims; Hedging of Contingent Claims - Backward Induction; Pricing of Vanilla Options in the CRR Model; Hedging of Vanilla Options in the CRR model; Hedging of Exotic Options in the CRR Model; Convergence of the CRR Model; Exercises; ; Brownian Motion and Stochastic Calculus; Brownian Motion; Wiener Stochastic Integral; Itȏ Stochastic Integral; Deterministic Calculus
505 0 $a; Stochastic Calculus; Geometric Brownian Motion; Stochastic Differential Equations; Exercises; ; The Black-Scholes PDE; Continuous-Time Market Model; Self-Financing Portfolio Strategies; Arbitrage and Risk-Neutral Measures; Market Completeness; Black-Scholes PDE; The Heat Equation; Solution of the Black-Scholes PDE; Exercises; ; Martingale Approach to Pricing and Hedging; Martingale Property of the Itȏ Integral; Risk-Neutral Measures; Girsanov Theorem and Change of Measure; Pricing by the Martingale Method; Hedging Strategies; Exercises; ; Estimation of Volatility; Historical Volatility; Implied Volatility; Black-Scholes Formula vs.
505 0 $aMarket Data; Local Volatility; ; Exotic Options; Generalities; Reexion Principle; Barrier Options; Lookback Options; Asian Options; Exercises; Contents vii; ; American Options; Filtrations and Information Flow; Martingales, Submartingales,
505 0 $aAnd Supermartingales; Stopping Times; Perpetual American Options; Finite Expiration American Options; Exercises; ; Change of Numéraire and Forward Measures; Notion of Numéraire; Change of Numéraire; Foreign Exchange; Pricing of Exchange Options; Self-Financing Hedging by Change of Numéraire; Exercises; ; Forward Rate Modeling; Short-Term Models; Zero-Coupon Bonds; Forward Rates; HJM Model; Forward Vasicek Rates; Modeling Issues; BGM Model; Exercises; ; Pricing of Interest Rate Derivatives; Forward Measures and Tenor Structure; Bond Options; Caplet Pricing; Forward Swap Measures; Swaption Pricing on the LIBOR; Exercises; ; Default Risk in Bond Markets; Survival Probabilities and Failure Rate; Stochastic Default; Defaultable Bonds; Credit Default Swaps; Exercises; ; Stochastic Calculus for Jump Processes; Poisson Process.
505 0 $a; Compound Poisson Processes; Stochastic Integrals with Jumps; Itȏ Formula with Jumps; Stochastic Differential Equations with Jumps; Girsanov Theorem for Jump Processes; Exercises; ; Pricing and Hedging in Jump Models; Risk-Neutral Measures; Pricing in Jump Models; Black-Scholes PDE with Jumps; Exponential Models; Self-Financing Hedging with Jumps; Exercises; ; Basic Numerical Methods; The Heat Equation; Black-Scholes PDE; Euler Discretization; Milshtein Discretization ; Appendix: Background on Probability Theory ; Probability Spaces and Events; Probability Measures; Conditional Probabilities and Independence; Random Variables; Probability Distributions; Expectation of a Random Variable; Conditional Expectation; Moment Generating Functions; Exercises; Bibliography; Index; ;
650 0 $aSecurities$xPrices$xMathematical models.
650 0 $aFinance$xMathematical models.
650 0 $aHedging (Finance)$xMathematical models.
650 0 $aStochastic analysis.
650 6 $aValeurs mobilières$xPrix$xModèles mathématiques.
650 6 $aFinances$xModèles mathématiques.
650 6 $aCouverture (Finances)$xModèles mathématiques.
650 6 $aAnalyse stochastique.
650 7 $aBUSINESS & ECONOMICS$xFinance.$2bisacsh
650 7 $aMATHEMATICS$xGeneral.$2bisacsh
650 7 $aMATHEMATICS$xProbability & Statistics$xGeneral.$2bisacsh
650 7 $aFinance$xMathematical models.$2fast$0(OCoLC)fst00924398
650 7 $aHedging (Finance)$xMathematical models.$2fast$0(OCoLC)fst00954462
650 7 $aSecurities$xPrices$xMathematical models.$2fast$0(OCoLC)fst01110775
650 7 $aStochastic analysis.$2fast$0(OCoLC)fst01133499
655 0 $aElectronic book.
655 4 $aElectronic books.
776 08 $iPrint version:$aPrivault, Nicolas.$tStochastic finance.$dBoca Raton : Taylor & Francis, [2014]$z9781466594029$w(DLC) 2013045572$w(OCoLC)856054565
830 0 $aChapman & Hall/CRC financial mathematics series.
856 40 $uhttp://www.columbia.edu/cgi-bin/cul/resolve?clio15104287$zTaylor & Francis eBooks
852 8 $blweb$hEBOOKS