LEADER 05430nam 2200697Ia 450 001 9910583480203321 005 20200520144314.0 010 $a9786611055134 010 $a9781281055132 010 $a1281055131 010 $a9780080553252 010 $a0080553257 035 $a(CKB)1000000000409748 035 $a(EBL)318217 035 $a(OCoLC)476112368 035 $a(SSID)ssj0000154978 035 $a(PQKBManifestationID)11158442 035 $a(PQKBTitleCode)TC0000154978 035 $a(PQKBWorkID)10097701 035 $a(PQKB)10391489 035 $a(MiAaPQ)EBC318217 035 $a(PPN)170235092 035 $a(FR-PaCSA)10230797 035 $a(FRCYB10230797)10230797 035 $a(EXLCZ)991000000000409748 100 $a20070718d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aFinancial engineering /$fedited by John R. Birge, Vadim Linetsky 210 $aAmsterdam ;$aLondon $cNorth-Holland$d2008 215 $a1 online resource (1027 p.) 225 1 $aHandbooks in operations research and management science ;$vv. 15 300 $aDescription based upon print version of record. 311 08$a9780444517814 311 08$a0444517812 320 $aIncludes bibliographical references and index. 327 $aFront cover; Financial Engineering; Copyright page; Contents; Part I: Introduction; Introduction to the Handbook of FinancialEngineering; References; Chapter 1. An Introduction to Financial Asset Pricing; 1. Introduction; 2. Introduction to derivatives and arbitrage; 3. The core of the theory; 4. American type derivatives; Acknowledgements; References; Part II: Derivative Securities: Models and Methods; Chapter 2. Jump-Diffusion Models for Asset Pricing in Financial Engineering; 1. Introduction; 2. Empirical stylized facts; 3. Motivation for jump-diffusion models 327 $a4. Equilibrium for general jump-diffusion models5. Basic setting for option pricing; 6. Pricing call and put option via Laplace transforms; 7. First passage times; 8. Barrier and lookback options; 9. Analytical approximations for American options; 10. Extension of the jump-diffusion models to multivariate cases; References; Chapter 3. Modeling Financial Security Returns Using Le?vy Processes; 1. Introduction; 2. Modeling return innovation distribution using Le?vy processes; 3. Generating stochastic volatility by applying stochastic time changes 327 $a4. Modeling financial security returns with time-changed Le?vy processes5. Option pricing under time-changed Le?vy processes; 6. Estimating Le?vy processes with and without time changes; 7. Concluding remarks; Acknowledgements; References; Chapter 4. Pricing with Wishart Risk Factors; 1. Introduction; 2. Wishart process; 3. Pricing; 4. Examples; 5. Concluding remarks; References; Chapter 5. Volatility; 1. Introduction; 2. A model of price formation with microstructure effects; 3. The variance of the equilibrium price; 4. Solutions to the inconsistency problem 327 $a5. Equilibrium price variance estimation: directions for future work6. The variance of microstructure noise: a consistency result; 7. The benefit of consistency: measuring market quality; 8. Volatility and asset pricing; Acknowledgements; References; Chapter 6. Spectral Methods in Derivatives Pricing; 1. Introduction; 2. Self-adjoint semigroups in Hilbert spaces; 3. One-dimensional diffusions: general results; 4. One-dimensional diffusions: a catalog of analytically tractable models; 5. Symmetric multi-dimensional diffusions; 6. Introducing jumps and stochastic volatility via time changes 327 $a7. ConclusionReferences; Chapter 7. Variational Methods in Derivatives Pricing; 1. Introduction; 2. European and barrier options in the Black-Scholes-Merton model; 3. American options in the Black-Scholes-Merton model; 4. General multi-dimensional jump-diffusion models; 5. Examples and applications; 6. Summary; References; Chapter 8. Discrete Barrier and Lookback Options; 1. Introduction; 2. A representation of barrier options via the change of numeraire argument; 3. Convolution, Broadie-Yamamoto method via the fast Gaussian transform, and Feng-Linetsky method via Hilbert transform 327 $a4. Continuity corrections 330 $aThe remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and 410 0$aHandbooks in operations research and management science ;$vv. 15. 606 $aFinancial engineering 606 $aFinance 615 0$aFinancial engineering. 615 0$aFinance. 676 $a658.15224 701 $aBirge$b John R$0451498 701 $aLinetsky$b Vadim$0911039 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910583480203321 996 $aFinancial engineering$92039954 997 $aUNINA