LEADER 00819cam0-2200289 --450 001 9910804695303321 005 20240216111340.0 010 $a978-88-575-9510-8 020 $aIT$b2023-3699 100 $a20240216d2023----kmuy0itay5050 ba 101 0 $aita 102 $aIT 105 $ay 001yy 200 1 $aDeterminismo e giustizia sociale$fGiuseppe Ferraro 210 $aMilano ; Udine$cMimesis$d2023 215 $a183 p.$d21 cm 225 1 $aMimesis. Eterotopie$v846 610 0 $aLibero arbitrio 676 $a123.5$v23$zita 700 1$aFerraro,$bGiuseppe$f<1966- >$0313773 801 0$aIT$bUNINA$gREICAT$2UNIMARC 901 $aBK 912 $a9910804695303321 952 $aCollez. 2467 (846)$b111/2024$fFSPBC 959 $aFSPBC 996 $aDeterminismo e giustizia sociale$93908721 997 $aUNINA LEADER 05763nam 22007095 450 001 9910735400903321 005 20200705013327.0 010 $a3-642-37113-2 024 7 $a10.1007/978-3-642-37113-4 035 $a(CKB)2670000000393923 035 $a(EBL)1317399 035 $a(OCoLC)870244241 035 $a(SSID)ssj0000935681 035 $a(PQKBManifestationID)11498745 035 $a(PQKBTitleCode)TC0000935681 035 $a(PQKBWorkID)10955326 035 $a(PQKB)10333466 035 $a(DE-He213)978-3-642-37113-4 035 $a(MiAaPQ)EBC6313193 035 $a(MiAaPQ)EBC1317399 035 $a(Au-PeEL)EBL1317399 035 $a(CaPaEBR)ebr10976359 035 $a(PPN)170491323 035 $a(EXLCZ)992670000000393923 100 $a20130608d2013 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aFinancial Modeling $eA Backward Stochastic Differential Equations Perspective /$fby Stephane Crepey 205 $a1st ed. 2013. 210 1$aBerlin, Heidelberg :$cSpringer Berlin Heidelberg :$cImprint: Springer,$d2013. 215 $a1 online resource (463 p.) 225 1 $aSpringer Finance Textbooks 300 $aDescription based upon print version of record. 311 $a3-642-44252-8 311 $a3-642-37112-4 327 $aPart I: An Introductory Course in Stochastic Processes -- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes -- 3.Elements of Stochastic Analysis -- Part II: Pricing Equations -- 4.Martingale Modeling -- 5.Benchmark Models -- Part III: Numerical Solutions -- 6.Monte Carlo Methods -- 7.Tree Methods -- 8.Finite Differences -- 9.Callibration Methods -- Part IV: Applications -- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups -- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups -- Part V: Jump-Diffusion Setup with Regime Switching (**) -- 12.Backward Stochastic Differential Equations -- 13.Analytic Approach -- 14.Extensions -- Part VI: Appendix -- A.Technical Proofs (**) -- B.Exercises -- C.Corrected Problem Sets. 330 $aBackward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey?s  book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey?s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics.       Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance. 410 0$aSpringer Finance Textbooks 606 $aComputer mathematics 606 $aEconomics, Mathematical  606 $aPartial differential equations 606 $aComputational Science and Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/M14026 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aPartial Differential Equations$3https://scigraph.springernature.com/ontologies/product-market-codes/M12155 615 0$aComputer mathematics. 615 0$aEconomics, Mathematical . 615 0$aPartial differential equations. 615 14$aComputational Science and Engineering. 615 24$aQuantitative Finance. 615 24$aPartial Differential Equations. 676 $a332.015195 700 $aCrepey$b Stephane$4aut$4http://id.loc.gov/vocabulary/relators/aut$0509825 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910735400903321 996 $aFinancial Modeling$93415176 997 $aUNINA