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Indifference pricing [[electronic resource] ] : theory and applications / / edited by René Carmona
Indifference pricing [[electronic resource] ] : theory and applications / / edited by René Carmona
Edizione [Course Book]
Pubbl/distr/stampa Princeton, : Princeton University Press, c2009
Descrizione fisica 1 online resource (427 p.)
Disciplina 658.8/16
Altri autori (Persone) CarmonaR (René)
Collana Princeton series in financial engineering
Soggetto topico Nonlinear pricing - Mathematical models
Prices - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 1-282-53143-3
9786612531439
1-4008-3311-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9910456827003321
Princeton, : Princeton University Press, c2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Indifference pricing [[electronic resource] ] : theory and applications / / edited by René Carmona
Indifference pricing [[electronic resource] ] : theory and applications / / edited by René Carmona
Edizione [Course Book]
Pubbl/distr/stampa Princeton, : Princeton University Press, c2009
Descrizione fisica 1 online resource (427 p.)
Disciplina 658.8/16
Altri autori (Persone) CarmonaR (René)
Collana Princeton series in financial engineering
Soggetto topico Nonlinear pricing - Mathematical models
Prices - Mathematical models
ISBN 1-282-53143-3
9786612531439
1-4008-3311-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9910781072303321
Princeton, : Princeton University Press, c2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Paris-Princeton lectures on mathematical Finance 2004 / / René A. Carmona [and six others]
Paris-Princeton lectures on mathematical Finance 2004 / / René A. Carmona [and six others]
Autore Carmona R.
Edizione [1st ed. 2007.]
Pubbl/distr/stampa Berlin ; ; Heidelberg : , : Springer, , [2007]
Descrizione fisica 1 online resource (255 p.)
Disciplina 650.01513
Altri autori (Persone) CarmonaR (René)
Collana Lecture notes in mathematics
Soggetto topico Business mathematics
ISBN 3-540-73327-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets -- Optimal Bond Portfolios -- Models for Insider Trading with Finite Utility -- Large Investor Trading Impacts on Volatility -- Some Applications and Methods of Large Deviations in Finance and Insurance.
Record Nr. UNINA-9910483308403321
Carmona R.  
Berlin ; ; Heidelberg : , : Springer, , [2007]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Paris-Princeton lectures on mathematical Finance 2004 / / René A. Carmona [and six others]
Paris-Princeton lectures on mathematical Finance 2004 / / René A. Carmona [and six others]
Autore Carmona R.
Edizione [1st ed. 2007.]
Pubbl/distr/stampa Berlin ; ; Heidelberg : , : Springer, , [2007]
Descrizione fisica 1 online resource (255 p.)
Disciplina 650.01513
Altri autori (Persone) CarmonaR (René)
Collana Lecture notes in mathematics
Soggetto topico Business mathematics
ISBN 3-540-73327-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets -- Optimal Bond Portfolios -- Models for Insider Trading with Finite Utility -- Large Investor Trading Impacts on Volatility -- Some Applications and Methods of Large Deviations in Finance and Insurance.
Record Nr. UNISA-996466506803316
Carmona R.  
Berlin ; ; Heidelberg : , : Springer, , [2007]
Materiale a stampa
Lo trovi qui: Univ. di Salerno
Opac: Controlla la disponibilità qui