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Record Nr. |
UNINA9910456827003321 |
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Titolo |
Indifference pricing [[electronic resource] ] : theory and applications / / edited by René Carmona |
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Pubbl/distr/stampa |
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Princeton, : Princeton University Press, c2009 |
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ISBN |
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1-282-53143-3 |
9786612531439 |
1-4008-3311-6 |
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Edizione |
[Course Book] |
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Descrizione fisica |
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1 online resource (427 p.) |
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Collana |
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Princeton series in financial engineering |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Nonlinear pricing - Mathematical models |
Prices - Mathematical models |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Frontmatter -- Contents -- Preface -- Part 1. Foundations -- Chapter One. The Single Period Binomial Model / Musiela, Marek / Zariphopoulou, Thaleia -- Chapter Two. Utility Indifference Pricing: An Overview / Henderson, Vicky / Hobson, David -- Part 2. Diffusion Models -- Chapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures / Barrieu, Pauline / Karoui, Nicole El -- Chapter Four. From Markovian To Partially Observable Models / Carmona, René -- Part 3. Applications -- Chapter Five. Portfolio Optimization / Ilhan, Aytac / Jonsson, Mattias / Sircar, Ronnie -- Chapter Six. Indifference Pricing Of Defaultable Claims / Bielecki, Tomasz R. / Jeanblanc, Monique -- Chapter Seven. Applications To Weather Derivatives And Energy Contracts / Carmona, René -- Part 4. Complements -- Chapter Eight. BSDEs And Applications / Karoui, Nicole El / Hamadène, Said / Matoussi, Anis -- Chapter Nine. Duality Methods / Elliott, Robert J. / Hoek, John van der -- Bibliography -- Contributors -- Notation Index -- Author Index -- Subject Index |
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Sommario/riassunto |
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This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide |
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the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals |
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2. |
Record Nr. |
UNINA9910734100403321 |
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Autore |
Erdoǧan Nezih |
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Titolo |
Exploring Past Images in a Digital Age : Reinventing the Archive |
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Pubbl/distr/stampa |
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Amsterdam : , : Amsterdam University Press, , 2023 |
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©2023 |
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ISBN |
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1-04-078056-3 |
1-003-69519-1 |
1-04-078658-8 |
90-485-5255-9 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (259 pages) |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Arts |
Film archives |
Motion picture film collections |
ART / History / General |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di contenuto |
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Frontmatter -- TABLE OF CONTENTS -- Acknowledgements -- Introduction: The Joys of Forgetting, Reinventing and Coping with the Archive Fever -- I New Frontiers? Between Absence and Presence of Archives -- 1 What Are Film Archives For? (and Why We Need Them to Change), or: Adventures in the Archive World -- 2 Viewing the Ottoman Lands in Early Travel Films -- 3 How Social Media Platforms Replace Film Archives When There Are No Archives -- 4 The Intersecting Paths of Eveline T. Scott and Traugott Fuchs: How Do Private Collections Speak to Us? -- II The God of Small Films, or What You Have Found Is Not What You Have Lost -- 5 The Ethics of Appropriation: Found Footage between Archive and Internet -- 6 The Infra-ordinary Archive: On Turkish 8 mm Home Movies -- 7 Interview with Gustav Deutsch: "Categorisation Limits" -- 8 Old Footage, New Meanings: The Case of The Atomic Cafe -- III What The Prints (Don't) Tell -- 9 Preservation and Resignation: A Study of Survival -- 10 Memory and Trust in a Time of Un-framing Film Heritage -- 11 "Uncontained" Archives of Cinema -- Bibliography -- Index |
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Sommario/riassunto |
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Film archives are fast spreading around the world, and with them issues surrounding archival digitisation, artistic appropriation, and academic reinterpretation of film material that demand scholarly attention. Exploring Past Images in a Digital Age: Reinventing the Archive aims to fill this demand with a thought-provoking collection of original articles contributed by renowned scholars, archivists, and artists. It urges the reader to "forget" standard ways of thinking about film archives and come to grips with the challenges of analysing and recontextualising an area in transit from the analogue to the digital. The book not only throws light on unexplored issues related to film archives but also introduces unconventional approaches and alternative sources for scholarly research and a vast range of artistic possibilities. |
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