An edition of Arbitrage, credit and informational risks (2014)

Arbitrage, credit and informational risks

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Arbitrage, credit and informational risks
Caroline Hillairet, Caroline H ...
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Last edited by ImportBot
September 13, 2021 | History
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An edition of Arbitrage, credit and informational risks (2014)

Arbitrage, credit and informational risks

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Publish Date
Publisher
World Scientific
Language
English
Pages
262

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Buy this book

Subjects

Arbitrage, Mathematical models, Credit, Management, Options (Finance), Prices, Stochastic analysis, Credit, management, Options (finance)
Edition Availability
Cover of: Arbitrage, credit and informational risks
Arbitrage, credit and informational risks
2014, World Scientific
in English
Cover of: Arbitrage, Credit and Informational Risks
Arbitrage, Credit and Informational Risks
2014, World Scientific Publishing Co Pte Ltd
in English
Cover of: Arbitrage, Credit and Informational Risks
Arbitrage, Credit and Informational Risks
2014, World Scientific Publishing Co Pte Ltd
in English
Cover of: Arbitrage, Credit and Informational Risks
Arbitrage, Credit and Informational Risks
2014, World Scientific Publishing Co Pte Ltd
in English

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Book Details

Table of Contents

Preface
Arbitrage
No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana
A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier
On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier
Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
Credit risk
Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu
Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey
Dynamic one-default model / Shiqi Song
Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti
Control problem and information risks
Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski
A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac
A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet
Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier.

Edition Notes

Includes bibliographical references and index.

Published in
New Jersey
Series
Peking university series in mathematics -- v. 6

Classifications

Dewey Decimal Class
332.64/5
Library of Congress
HG6024.A3 H55 2014, HG6024.A3H55 2014

The Physical Object

Pagination
xii, 262 pages
Number of pages
262

Edition Identifiers

Open Library
OL31016632M
ISBN 13
9789814602068
LCCN
2014003080

Work Identifiers

Work ID
OL23180926W

Source records

Library of Congress MARC record
Better World Books record

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History

Download catalog record: RDF / JSON
September 13, 2021 Edited by ImportBot import existing book
November 12, 2020 Created by MARC Bot import new book