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Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina |
332.01/51923
368.010151922 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory Stochastic Analysis for Finance and InsuranceIntroductory Stochastic Analysis for Finance and Insurance; CONTENTS; List of Figures; List of Tables; Preface; 1 Introduction; 2 Overview of Probability Theory; 2.1 Probability Spaces and Information Structures; 2.2 Random Variables, Moments and Transforms; LIST OF FIGURES; 2.1. The price of a stock over a two-day period.; 2.3 Multivariate Distributions; 2.4 Conditional Probability and Conditional Distributions; 2.2. The probability tree of the stock price over a two-day period.; 2.5 Conditional Expectation
2.3. The expectation tree of the stock price over a two-day period.2.6 The Central Limit Theorem; 3 Discrete-Time Stochastic Processes; 3.1 Stochastic Processes and Information Structures; 3.2 Random Walks; 3.1. The tree of a standard random walk.; 3.2. The binomial model of the stock price.; 3.3 Discrete-Time Markov Chains; 3.3. The binomial tree of the stock price.; 3.4 Martingales and Change of Probability Measure; 3.5 Stopping Times; 3.6 Option Pricing with Binomial Models; 3.4. The returns of a stock and a bond.; 3.5. The payoff function of a call.; 3.6. The payoff function of a put. 3.7. The payoff function of a strangle.3.7 Binomial Interest Rate Models; LIST OF TABLES; 3.1. A sample of quotes on U.S. Treasuries.; 3.8. Treasury yield curve, Treasury zero curve, and Treasury forward rate curve based on the quotes in Table 3.1.; 3.2. The market term structure.; 3.9. Constructing a short rate tree: step one.; 3.10. Constructing a short rate tree: step two.; 3.11. The complete short rate tree.; 4 Continuous-Time Stochastic Processes; 4.1 General Description of Continuous-Time Stochastic Processes; 4.2 Brownian Motion 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 0.5.; 4.6. A path of standard Brownian motion reflected after hitting.; 4.7. A path of standard Brownian motion reflected before hitting.; 4.4 The Poisson Process and Compound Poisson Process 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(t)}.; 4.5 Martingales; 4.6 Stopping Times and the Optional Sampling Theorem; 5 Stochastic Calculus: Basic Topics; 5.1 Stochastic (Ito) Integration; 5.2 Stochastic Differential Equations; 5.3 One-Dimensional Ito's Lemma; 5.1. The product rules in stochastic calculus.; 5.4 Continuous-Time Interest Rate Models; 5.5 The Black-Scholes Model and Option Pricing Formula; 5.6 The Stochastic Version of Integration by Parts; 5.7 Exponential Martingales; 5.8 The Martingale Representation Theorem 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910831197103321 |
Lin X. Sheldon
|
||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina |
332.01/51923
368.010151922 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory Stochastic Analysis for Finance and InsuranceIntroductory Stochastic Analysis for Finance and Insurance; CONTENTS; List of Figures; List of Tables; Preface; 1 Introduction; 2 Overview of Probability Theory; 2.1 Probability Spaces and Information Structures; 2.2 Random Variables, Moments and Transforms; LIST OF FIGURES; 2.1. The price of a stock over a two-day period.; 2.3 Multivariate Distributions; 2.4 Conditional Probability and Conditional Distributions; 2.2. The probability tree of the stock price over a two-day period.; 2.5 Conditional Expectation
2.3. The expectation tree of the stock price over a two-day period.2.6 The Central Limit Theorem; 3 Discrete-Time Stochastic Processes; 3.1 Stochastic Processes and Information Structures; 3.2 Random Walks; 3.1. The tree of a standard random walk.; 3.2. The binomial model of the stock price.; 3.3 Discrete-Time Markov Chains; 3.3. The binomial tree of the stock price.; 3.4 Martingales and Change of Probability Measure; 3.5 Stopping Times; 3.6 Option Pricing with Binomial Models; 3.4. The returns of a stock and a bond.; 3.5. The payoff function of a call.; 3.6. The payoff function of a put. 3.7. The payoff function of a strangle.3.7 Binomial Interest Rate Models; LIST OF TABLES; 3.1. A sample of quotes on U.S. Treasuries.; 3.8. Treasury yield curve, Treasury zero curve, and Treasury forward rate curve based on the quotes in Table 3.1.; 3.2. The market term structure.; 3.9. Constructing a short rate tree: step one.; 3.10. Constructing a short rate tree: step two.; 3.11. The complete short rate tree.; 4 Continuous-Time Stochastic Processes; 4.1 General Description of Continuous-Time Stochastic Processes; 4.2 Brownian Motion 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 0.5.; 4.6. A path of standard Brownian motion reflected after hitting.; 4.7. A path of standard Brownian motion reflected before hitting.; 4.4 The Poisson Process and Compound Poisson Process 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(t)}.; 4.5 Martingales; 4.6 Stopping Times and the Optional Sampling Theorem; 5 Stochastic Calculus: Basic Topics; 5.1 Stochastic (Ito) Integration; 5.2 Stochastic Differential Equations; 5.3 One-Dimensional Ito's Lemma; 5.1. The product rules in stochastic calculus.; 5.4 Continuous-Time Interest Rate Models; 5.5 The Black-Scholes Model and Option Pricing Formula; 5.6 The Stochastic Version of Integration by Parts; 5.7 Exponential Martingales; 5.8 The Martingale Representation Theorem 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910841302203321 |
|
Lin X. Sheldon
|
||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The journal of computational finance
| The journal of computational finance |
| Pubbl/distr/stampa | London, UK, : Risk Publications |
| Descrizione fisica | 1 online resource |
| Disciplina | 332.0151 |
| Soggetto topico |
Finance - Data processing
Finance - Mathematical models Finances - Informatique Finances - Modèles mathématiques Capital Asset Pricing Model Portfolio-Management Optionspreistheorie Mathematische Optimierung Software Theorie |
| Soggetto genere / forma | Periodicals. |
| ISSN | 1755-2850 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Computational finance |
| Record Nr. | UNINA-9910136437903321 |
| London, UK, : Risk Publications | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The journal of computational finance
| The journal of computational finance |
| Pubbl/distr/stampa | London, UK, : Risk Publications |
| Descrizione fisica | 1 online resource |
| Disciplina | 332.0151 |
| Soggetto topico |
Finance - Data processing
Finance - Mathematical models Finances - Informatique Finances - Modèles mathématiques Capital Asset Pricing Model Portfolio-Management Optionspreistheorie Mathematische Optimierung Software Theorie |
| Soggetto genere / forma | Periodicals. |
| ISSN | 1755-2850 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Computational finance |
| Record Nr. | UNISA-996335917903316 |
| London, UK, : Risk Publications | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Journal of computational optimization in economics and finance
| Journal of computational optimization in economics and finance |
| Pubbl/distr/stampa | Hauppauge, NY, : Nova Science Publishers |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Econometric models Economics Finance |
| Soggetto genere / forma | Periodicals. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti |
Computational optimization in economics and finance
JCOEF |
| Record Nr. | UNISA-996336316803316 |
| Hauppauge, NY, : Nova Science Publishers | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Journal of computational optimization in economics and finance
| Journal of computational optimization in economics and finance |
| Pubbl/distr/stampa | Hauppauge, NY, : Nova Science Publishers |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Econometric models Economics Finance |
| Soggetto genere / forma | Periodicals. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti |
Computational optimization in economics and finance
JCOEF |
| Record Nr. | UNINA-9910144994903321 |
| Hauppauge, NY, : Nova Science Publishers | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Linear factor models in finance [[electronic resource] /] / [edited by] John Knight and Stephen Satchell
| Linear factor models in finance [[electronic resource] /] / [edited by] John Knight and Stephen Satchell |
| Pubbl/distr/stampa | Amsterdam ; ; Oxford, : Elsevier Butterworth-Heinemann, 2005 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.015118 |
| Altri autori (Persone) |
KnightJohn L
SatchellS (Stephen) |
| Collana | Quantitative finance series |
| Soggetto topico |
Finance - Mathematical models
Mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-63881-8
9786610638819 0-08-045532-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Linear Factor Models in Finance; Contents; List of contributors; Introduction; 1 Review of literature on multifactor asset pricing models; 1.1 Theoretical reasons for existence of multiple factors; 1.2 Empirical evidence of existence of multiple factors; 1.3 Estimation of factor pricing models; Bibliography; 2 Estimating UK factor models using the multivariate skew normal distribution; 2.1 Introduction; 2.2 The multivariate skew normal distribution and some of its properties; 2.3 Conditional distributions and factor models; 2.4 Data model choice and estimation; 2.5 Empirical study
2.5.1 Basic return statistics2.5.2 Overall model fit; 2.5.3 Comparison of parameter estimates; 2.5.4 Skewness parameters; 2.5.5 Tau and time-varying conditional variance; 2.6 Conclusions; Acknowledgement; References; 3 Misspecification in the linear pricing model; 3.1 Introduction; 3.2 Framework; 3.2.1 Arbitrage Pricing Theory; 3.2.2 Multivariate F test used in linear factor model; 3.2.3 Average F test used in linear factor model; 3.3 Distribution of the multivariate F test statistics under misspecification; 3.3.1 Exclusion of a set of factors from estimation 3.3.2 Time-varying factor loadings3.4 Simulation study; 3.4.1 Design; 3.4.2 Factors serially independent; 3.4.3 Factors autocorrelated; 3.4.4 Time-varying factor loadings; 3.4.5 Simulation results; 3.5 Conclusion; Appendix: Proof of proposition 3.1 and proposition 3.2; 4 Bayesian estimation of risk premia in an APT context; 4.1 Introduction; 4.2 The general APT framework; 4.2.1 The excess return generating process (when factors are traded portfolios); 4.2.2 The excess return generating process (when factors are macroeconomic variables or non-traded portfolios) 4.2.3 Obtaining the (K x 1) vector of risk premia l4.3 Introducing a Bayesian framework using a Minnesota prior (Litterman's prior); 4.3.1 Prior estimates of the risk premia; 4.3.2 Posterior estimates of the risk premia; 4.4 An empirical application; 4.4.1 Data; 4.4.2 Results; 4.5 Conclusion; References; Appendix; 5 Sharpe style analysis in the MSCI sector portfolios: a Monte Carlo integration approach; 5.1 Introduction; 5.2 Methodology; 5.2.1 A Bayesian decision-theoretic approach; 5.2.2 Estimation by Monte Carlo integration; 5.3 Style analysis in the MSCI sector portfolios; 5.4 Conclusions References6 Implication of the method of portfolio formation on asset pricing tests; 6.1 Introduction; 6.2 Models; 6.2.1 Asset pricing frameworks; 6.2.2 Specifications to be tested; 6.3 Implementation; 6.3.1 Multivariate F test; 6.3.2 Average F test; 6.3.3 Stochastic discount factor using GMM with Hansen and Jagannathan distance; 6.3.4 A look at the pricing errors under different tests; 6.4 Variables construction and data sources; 6.4.1 Data sources; 6.4.2 Independent variables: excess market return, size return factor and book-to-market return factor 6.4.3 Dependent variables: size-sorted portfolios, beta-sorted portfolios and individual assets |
| Record Nr. | UNINA-9910457338403321 |
| Amsterdam ; ; Oxford, : Elsevier Butterworth-Heinemann, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Linear factor models in finance [[electronic resource] /] / [edited by] John Knight and Stephen Satchell
| Linear factor models in finance [[electronic resource] /] / [edited by] John Knight and Stephen Satchell |
| Pubbl/distr/stampa | Amsterdam ; ; Oxford, : Elsevier Butterworth-Heinemann, 2005 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.015118 |
| Altri autori (Persone) |
KnightJohn L
SatchellStephen <1949-> |
| Collana | Quantitative finance series |
| Soggetto topico |
Finance - Mathematical models
Mathematics |
| ISBN |
1-280-63881-8
9786610638819 0-08-045532-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Linear Factor Models in Finance; Contents; List of contributors; Introduction; 1 Review of literature on multifactor asset pricing models; 1.1 Theoretical reasons for existence of multiple factors; 1.2 Empirical evidence of existence of multiple factors; 1.3 Estimation of factor pricing models; Bibliography; 2 Estimating UK factor models using the multivariate skew normal distribution; 2.1 Introduction; 2.2 The multivariate skew normal distribution and some of its properties; 2.3 Conditional distributions and factor models; 2.4 Data model choice and estimation; 2.5 Empirical study
2.5.1 Basic return statistics2.5.2 Overall model fit; 2.5.3 Comparison of parameter estimates; 2.5.4 Skewness parameters; 2.5.5 Tau and time-varying conditional variance; 2.6 Conclusions; Acknowledgement; References; 3 Misspecification in the linear pricing model; 3.1 Introduction; 3.2 Framework; 3.2.1 Arbitrage Pricing Theory; 3.2.2 Multivariate F test used in linear factor model; 3.2.3 Average F test used in linear factor model; 3.3 Distribution of the multivariate F test statistics under misspecification; 3.3.1 Exclusion of a set of factors from estimation 3.3.2 Time-varying factor loadings3.4 Simulation study; 3.4.1 Design; 3.4.2 Factors serially independent; 3.4.3 Factors autocorrelated; 3.4.4 Time-varying factor loadings; 3.4.5 Simulation results; 3.5 Conclusion; Appendix: Proof of proposition 3.1 and proposition 3.2; 4 Bayesian estimation of risk premia in an APT context; 4.1 Introduction; 4.2 The general APT framework; 4.2.1 The excess return generating process (when factors are traded portfolios); 4.2.2 The excess return generating process (when factors are macroeconomic variables or non-traded portfolios) 4.2.3 Obtaining the (K x 1) vector of risk premia l4.3 Introducing a Bayesian framework using a Minnesota prior (Litterman's prior); 4.3.1 Prior estimates of the risk premia; 4.3.2 Posterior estimates of the risk premia; 4.4 An empirical application; 4.4.1 Data; 4.4.2 Results; 4.5 Conclusion; References; Appendix; 5 Sharpe style analysis in the MSCI sector portfolios: a Monte Carlo integration approach; 5.1 Introduction; 5.2 Methodology; 5.2.1 A Bayesian decision-theoretic approach; 5.2.2 Estimation by Monte Carlo integration; 5.3 Style analysis in the MSCI sector portfolios; 5.4 Conclusions References6 Implication of the method of portfolio formation on asset pricing tests; 6.1 Introduction; 6.2 Models; 6.2.1 Asset pricing frameworks; 6.2.2 Specifications to be tested; 6.3 Implementation; 6.3.1 Multivariate F test; 6.3.2 Average F test; 6.3.3 Stochastic discount factor using GMM with Hansen and Jagannathan distance; 6.3.4 A look at the pricing errors under different tests; 6.4 Variables construction and data sources; 6.4.1 Data sources; 6.4.2 Independent variables: excess market return, size return factor and book-to-market return factor 6.4.3 Dependent variables: size-sorted portfolios, beta-sorted portfolios and individual assets |
| Record Nr. | UNINA-9910784450703321 |
| Amsterdam ; ; Oxford, : Elsevier Butterworth-Heinemann, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Linear factor models in finance / / [edited by] John Knight and Stephen Satchell
| Linear factor models in finance / / [edited by] John Knight and Stephen Satchell |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Oxford, : Elsevier Butterworth-Heinemann, 2005 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.015118 |
| Altri autori (Persone) |
KnightJohn L
SatchellStephen <1949-> |
| Collana | Quantitative finance series |
| Soggetto topico |
Finance - Mathematical models
Mathematics |
| ISBN |
1-280-63881-8
9786610638819 0-08-045532-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Linear Factor Models in Finance; Contents; List of contributors; Introduction; 1 Review of literature on multifactor asset pricing models; 1.1 Theoretical reasons for existence of multiple factors; 1.2 Empirical evidence of existence of multiple factors; 1.3 Estimation of factor pricing models; Bibliography; 2 Estimating UK factor models using the multivariate skew normal distribution; 2.1 Introduction; 2.2 The multivariate skew normal distribution and some of its properties; 2.3 Conditional distributions and factor models; 2.4 Data model choice and estimation; 2.5 Empirical study
2.5.1 Basic return statistics2.5.2 Overall model fit; 2.5.3 Comparison of parameter estimates; 2.5.4 Skewness parameters; 2.5.5 Tau and time-varying conditional variance; 2.6 Conclusions; Acknowledgement; References; 3 Misspecification in the linear pricing model; 3.1 Introduction; 3.2 Framework; 3.2.1 Arbitrage Pricing Theory; 3.2.2 Multivariate F test used in linear factor model; 3.2.3 Average F test used in linear factor model; 3.3 Distribution of the multivariate F test statistics under misspecification; 3.3.1 Exclusion of a set of factors from estimation 3.3.2 Time-varying factor loadings3.4 Simulation study; 3.4.1 Design; 3.4.2 Factors serially independent; 3.4.3 Factors autocorrelated; 3.4.4 Time-varying factor loadings; 3.4.5 Simulation results; 3.5 Conclusion; Appendix: Proof of proposition 3.1 and proposition 3.2; 4 Bayesian estimation of risk premia in an APT context; 4.1 Introduction; 4.2 The general APT framework; 4.2.1 The excess return generating process (when factors are traded portfolios); 4.2.2 The excess return generating process (when factors are macroeconomic variables or non-traded portfolios) 4.2.3 Obtaining the (K x 1) vector of risk premia l4.3 Introducing a Bayesian framework using a Minnesota prior (Litterman's prior); 4.3.1 Prior estimates of the risk premia; 4.3.2 Posterior estimates of the risk premia; 4.4 An empirical application; 4.4.1 Data; 4.4.2 Results; 4.5 Conclusion; References; Appendix; 5 Sharpe style analysis in the MSCI sector portfolios: a Monte Carlo integration approach; 5.1 Introduction; 5.2 Methodology; 5.2.1 A Bayesian decision-theoretic approach; 5.2.2 Estimation by Monte Carlo integration; 5.3 Style analysis in the MSCI sector portfolios; 5.4 Conclusions References6 Implication of the method of portfolio formation on asset pricing tests; 6.1 Introduction; 6.2 Models; 6.2.1 Asset pricing frameworks; 6.2.2 Specifications to be tested; 6.3 Implementation; 6.3.1 Multivariate F test; 6.3.2 Average F test; 6.3.3 Stochastic discount factor using GMM with Hansen and Jagannathan distance; 6.3.4 A look at the pricing errors under different tests; 6.4 Variables construction and data sources; 6.4.1 Data sources; 6.4.2 Independent variables: excess market return, size return factor and book-to-market return factor 6.4.3 Dependent variables: size-sorted portfolios, beta-sorted portfolios and individual assets |
| Record Nr. | UNINA-9910809959403321 |
| Amsterdam ; ; Oxford, : Elsevier Butterworth-Heinemann, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Louis Bachelier's theory of speculation [[electronic resource] ] : the origins of modern finance / / translated and with commentary by Mark Davis and Alison Etheridge
| Louis Bachelier's theory of speculation [[electronic resource] ] : the origins of modern finance / / translated and with commentary by Mark Davis and Alison Etheridge |
| Autore | Bachelier Louis <b. 1870.> |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ. ; ; Oxford, : Princeton University Press, c2006 |
| Descrizione fisica | 1 online resource (206 p.) |
| Disciplina | 332.645015118 |
| Altri autori (Persone) |
DavisM. H. A
EtheridgeAlison |
| Soggetto topico |
Speculation - Mathematical models
Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-29829-1
9786612298295 1-4008-2930-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Foreword / Samuelson, Paul A. -- Preface -- Chapter One. Mathematics and Finance -- Chapter Two. Théorie de la Spéculation -- Chapter Three. From Bachelier to Kreps, Harrison and Pliska -- Chapter Four. Facsimile of Bachelier's Original Thesis -- References |
| Record Nr. | UNINA-9910454919603321 |
|
Bachelier Louis <b. 1870.>
|
||
| Princeton, NJ. ; ; Oxford, : Princeton University Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
