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Frontiers in quantitative finance [[electronic resource] ] : volatility and credit risk modeling / / Rama Cont, editor
| Frontiers in quantitative finance [[electronic resource] ] : volatility and credit risk modeling / / Rama Cont, editor |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (319 p.) |
| Disciplina | 332.015195 |
| Altri autori (Persone) | ContRama |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Derivative securities - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-45680-9
1-281-93865-3 9786611938659 1-118-26691-9 0-470-40716-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling; Contents; Preface; About the Editor; About the Contributors; Part I: Option Pricing and Volatility Modeling; Chapter 1: A Moment Approach to Static Arbitrage; Chapter 2: On Black-Scholes Implied Volatility at Extreme Strikes; Chapter 3: Dynamic Properties of Smile Models; Chapter 4: A Geometric Approach to the Asymptotics of Implied Volatility; Chapter 5: Pricing, Hedging, and Calibration in Jump-Diffusion Models; Part II: Credit Risk; Chapter 6: Modeling Credit Risk
Chapter 7: An Overview of Factor Modeling for CDO PricingChapter 8: Factor Distributions Implied by Quoted CDO Spreads; Chapter 9: Pricing CDOs with a Smile: The Local Correlation Model; Chapter 10: Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches; Chapter 11: Forward Equations for Portfolio Credit Derivatives; Index |
| Record Nr. | UNINA-9910144129203321 |
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Frontiers in quantitative finance [[electronic resource] ] : volatility and credit risk modeling / / Rama Cont, editor
| Frontiers in quantitative finance [[electronic resource] ] : volatility and credit risk modeling / / Rama Cont, editor |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (319 p.) |
| Disciplina | 332.015195 |
| Altri autori (Persone) | ContRama |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Derivative securities - Mathematical models |
| ISBN |
0-470-45680-9
1-281-93865-3 9786611938659 1-118-26691-9 0-470-40716-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling; Contents; Preface; About the Editor; About the Contributors; Part I: Option Pricing and Volatility Modeling; Chapter 1: A Moment Approach to Static Arbitrage; Chapter 2: On Black-Scholes Implied Volatility at Extreme Strikes; Chapter 3: Dynamic Properties of Smile Models; Chapter 4: A Geometric Approach to the Asymptotics of Implied Volatility; Chapter 5: Pricing, Hedging, and Calibration in Jump-Diffusion Models; Part II: Credit Risk; Chapter 6: Modeling Credit Risk
Chapter 7: An Overview of Factor Modeling for CDO PricingChapter 8: Factor Distributions Implied by Quoted CDO Spreads; Chapter 9: Pricing CDOs with a Smile: The Local Correlation Model; Chapter 10: Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches; Chapter 11: Forward Equations for Portfolio Credit Derivatives; Index |
| Record Nr. | UNINA-9910830550603321 |
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Frontiers in quantitative finance [[electronic resource] ] : volatility and credit risk modeling / / Rama Cont, editor
| Frontiers in quantitative finance [[electronic resource] ] : volatility and credit risk modeling / / Rama Cont, editor |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (319 p.) |
| Disciplina | 332.015195 |
| Altri autori (Persone) | ContRama |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Derivative securities - Mathematical models |
| ISBN |
0-470-45680-9
1-281-93865-3 9786611938659 1-118-26691-9 0-470-40716-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling; Contents; Preface; About the Editor; About the Contributors; Part I: Option Pricing and Volatility Modeling; Chapter 1: A Moment Approach to Static Arbitrage; Chapter 2: On Black-Scholes Implied Volatility at Extreme Strikes; Chapter 3: Dynamic Properties of Smile Models; Chapter 4: A Geometric Approach to the Asymptotics of Implied Volatility; Chapter 5: Pricing, Hedging, and Calibration in Jump-Diffusion Models; Part II: Credit Risk; Chapter 6: Modeling Credit Risk
Chapter 7: An Overview of Factor Modeling for CDO PricingChapter 8: Factor Distributions Implied by Quoted CDO Spreads; Chapter 9: Pricing CDOs with a Smile: The Local Correlation Model; Chapter 10: Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches; Chapter 11: Forward Equations for Portfolio Credit Derivatives; Index |
| Record Nr. | UNINA-9910877495003321 |
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic Integration by Parts and Functional Itô Calculus / / by Vlad Bally, Lucia Caramellino, Rama Cont ; edited by Frederic Utzet, Josep Vives
| Stochastic Integration by Parts and Functional Itô Calculus / / by Vlad Bally, Lucia Caramellino, Rama Cont ; edited by Frederic Utzet, Josep Vives |
| Autore | Bally Vlad |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Birkhäuser, , 2016 |
| Descrizione fisica | 1 online resource (IX, 207 p. 1 illus. in color.) |
| Disciplina | 510 |
| Collana | Advanced Courses in Mathematics - CRM Barcelona |
| Soggetto topico |
Probabilities
Differential equations Partial differential equations Probability Theory and Stochastic Processes Ordinary Differential Equations Partial Differential Equations |
| ISBN | 3-319-27128-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Foreword -- Contents -- Part I Integration by Parts Formulas, Malliavin Calculus, and Regularity of Probability Laws -- Preface -- Problem 1 -- Problem 2 -- Problem 3 -- Problem 4 -- Conclusion -- Chapter 1 Integration by parts formulas and the Riesz transform -- 1.1 Sobolev spaces associated to probability measures -- 1.2 The Riesz transform -- 1.3 A first absolute continuity criterion: Malliavin-Thalmaier representation formula -- 1.4 Estimate of the Riesz transform -- 1.5 Regularity of the density -- 1.6 Estimate of the tails of the density -- 1.7 Local integration by parts formulas and local densities -- 1.8 Random variables -- Chapter 2 Construction of integration by parts formulas -- 2.1 Construction of integration by parts formulas -- 2.1.1 Derivative operators -- 2.1.2 Duality and integration by parts formulas -- 2.1.3 Estimation of the weights -- Iterated derivative operators, Sobolev norms -- Estimate of |γ(F)|l -- Bounds for the weights Hqβ (F,G) -- 2.1.4 Norms and weights -- 2.2 Short introduction to Malliavin calculus -- 2.2.1 Differential operators -- Step 1: Finite-dimensional di erential calculus in dimension n -- Step 2: Finite-dimensional di erential calculus in arbitrary dimension -- Step 3: Infinite-dimensional calculus -- 2.2.2 Computation rules and integration by parts formulas -- 2.3 Representation and estimates for the density -- 2.4 Comparisons between density functions -- 2.4.1 Localized representation formulas for the density -- 2.4.2 The distance between density functions -- 2.5 Convergence in total variation for a sequence of Wiener functionals -- Chapter 3 Regularity of probability laws by using an interpolation method -- 3.1 Notations -- 3.2 Criterion for the regularity of a probability law -- 3.3 Random variables and integration by parts -- 3.4 Examples -- 3.4.1 Path dependent SDE's.
3.4.2 Diffusion processes -- 3.4.3 Stochastic heat equation -- 3.5 Appendix A: Hermite expansions and density estimates -- 3.6 Appendix B: Interpolation spaces -- 3.7 Appendix C: Superkernels -- Bibliography -- Part II Functional Itô Calculus and Functional Kolmogorov Equations -- Preface -- Chapter 4 Overview -- 4.1 Functional Itô Calculus -- 4.2 Martingale representation formulas -- 4.3 Functional Kolmogorov equations and path dependent PDEs -- 4.4 Outline -- Notations -- Chapter 5 Pathwise calculus for non-anticipative functionals -- 5.1 Non-anticipative functionals -- 5.2 Horizontal and vertical derivatives -- 5.2.1 Horizontal derivative -- 5.2.2 Vertical derivative -- 5.2.3 Regular functionals -- 5.3 Pathwise integration and functional change of variable formula -- 5.3.1 Quadratic variation of a path along a sequence of partitions -- 5.3.2 Functional change of variable formula -- 5.3.3 Pathwise integration for paths of finite quadratic variation -- 5.4 Functionals defined on continuous paths -- 5.5 Application to functionals of stochastic processes -- Chapter 6 The functional Itô formula -- 6.1 Semimartingales and quadratic variation -- 6.2 The functional Itô formula -- 6.3 Functionals with dependence on quadratic variation -- Chapter 7 Weak functional calculus for square-integrable processes -- 7.1 Vertical derivative of an adapted process -- 7.2 Martingale representation formula -- 7.3 Weak derivative for square integrable functionals -- 7.4 Relation with the Malliavin derivative -- 7.5 Extension to semimartingales -- 7.6 Changing the reference martingale -- 7.7 Forward-Backward SDEs -- Chapter 8 Functional Kolmogorov equations -- 8.1 Functional Kolmogorov equations and harmonic functionals -- 8.1.1 Stochastic differential equations with path dependent coefficients -- 8.1.2 Local martingales and harmonic functionals. 8.1.3 Sub-solutions and super-solutions -- 8.1.4 Comparison principle and uniqueness -- 8.1.5 Feynman-Kac formula for path dependent functionals -- 8.2 FBSDEs and semilinear functional PDEs -- 8.3 Non-Markovian stochastic control and path dependent HJB equations -- 8.4 Weak solutions -- Comments and references -- Bibliography. |
| Record Nr. | UNINA-9910254067503321 |
Bally Vlad
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| Cham : , : Springer International Publishing : , : Imprint : Birkhäuser, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||