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Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy
| Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy |
| Autore | Hunt P. J (Philip James), <1964-> |
| Edizione | [Rev. ed.] |
| Pubbl/distr/stampa | Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (469 p.) |
| Disciplina |
332.64
332.64/57 332.6457 |
| Altri autori (Persone) | KennedyJ. E |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Derivative securities
Stocks |
| ISBN |
0-470-86360-9
1-280-27170-1 9786610271702 0-470-30038-8 0-470-86361-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Financial Derivatives in Theory and Practice""; ""Contents""; ""Preface to revised edition""; ""Preface""; ""Acknowledgements""; ""Part I: Theory""; ""1 Single-Period Option Pricing""; ""1.1 Option pricing in a nutshell""; ""1.2 The simplest setting""; ""1.3 General one-period economy""; ""1.3.1 Pricing""; ""1.3.2 Conditions for no arbitrage: existence of Z""; ""1.3.3 Completeness: uniqueness of Z""; ""1.3.4 Probabilistic formulation""; ""1.3.5 Units and numeraires""; ""1.4 A two-period example""; ""2 Brownian Motion""; ""2.1 Introduction""; ""2.2 Definition and existence""
""2.3 Basic properties of Brownian motion""""2.3.1 Limit of a random walk""; ""2.3.2 Deterministic transformations of Brownian motion""; ""2.3.3 Some basic sample path properties""; ""2.4 Strong Markov property""; ""2.4.1 Reflection principle""; ""3 Martingales""; ""3.1 Definition and basic properties""; ""3.2 Classes of martingales""; ""3.2.1 Martingales bounded in L(1)""; ""3.2.2 Uniformly integrable martingales""; ""3.2.3 Square-integrable martingales""; ""3.3 Stopping times and the optional sampling theorem""; ""3.3.1 Stopping times""; ""3.3.2 Optional sampling theorem"" ""3.4 Variation, quadratic variation and integration""""3.4.1 Total variation and Stieltjes integration""; ""3.4.2 Quadratic variation""; ""3.4.3 Quadratic covariation""; ""3.5 Local martingales and semimartingales""; ""3.5.1 The space cM(loc)""; ""3.5.2 Semimartingales""; ""3.6 Supermartingales and the Doob�Meyer decomposition""; ""4 Stochastic Integration""; ""4.1 Outline""; ""4.2 Predictable processes""; ""4.3 Stochastic integrals: the L(2) theory""; ""4.3.1 The simplest integral""; ""4.3.2 The Hilbert space L(2)(M)""; ""4.3.3 The L(2) integral"" ""5.1.1 Basic results and properties""""5.1.2 Equivalent and locally equivalent measures on a filtered space""; ""5.1.3 Novikov�s condition""; ""5.2 Girsanov�s theorem""; ""5.2.1 Girsanov�s theorem for continuous semimartingales""; ""5.2.2 Girsanov�s theorem for Brownian motion""; ""5.3 Martingale representation theorem""; ""5.3.1 The space I(2)(M) and its orthogonal complement""; ""5.3.2 Martingale measures and the martingale representation theorem""; ""5.3.3 Extensions and the Brownian case""; ""6 Stochastic Differential Equations""; ""6.1 Introduction"" ""6.2 Formal definition of an SDE"" |
| Record Nr. | UNISA-996213661103316 |
Hunt P. J (Philip James), <1964->
|
||
| Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy
| Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy |
| Autore | Hunt P. J (Philip James), <1964-> |
| Edizione | [Rev. ed.] |
| Pubbl/distr/stampa | Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (469 p.) |
| Disciplina |
332.64
332.64/57 332.6457 |
| Altri autori (Persone) | KennedyJ. E |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Derivative securities
Stocks |
| ISBN |
0-470-86360-9
1-280-27170-1 9786610271702 0-470-30038-8 0-470-86361-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Financial Derivatives in Theory and Practice""; ""Contents""; ""Preface to revised edition""; ""Preface""; ""Acknowledgements""; ""Part I: Theory""; ""1 Single-Period Option Pricing""; ""1.1 Option pricing in a nutshell""; ""1.2 The simplest setting""; ""1.3 General one-period economy""; ""1.3.1 Pricing""; ""1.3.2 Conditions for no arbitrage: existence of Z""; ""1.3.3 Completeness: uniqueness of Z""; ""1.3.4 Probabilistic formulation""; ""1.3.5 Units and numeraires""; ""1.4 A two-period example""; ""2 Brownian Motion""; ""2.1 Introduction""; ""2.2 Definition and existence""
""2.3 Basic properties of Brownian motion""""2.3.1 Limit of a random walk""; ""2.3.2 Deterministic transformations of Brownian motion""; ""2.3.3 Some basic sample path properties""; ""2.4 Strong Markov property""; ""2.4.1 Reflection principle""; ""3 Martingales""; ""3.1 Definition and basic properties""; ""3.2 Classes of martingales""; ""3.2.1 Martingales bounded in L(1)""; ""3.2.2 Uniformly integrable martingales""; ""3.2.3 Square-integrable martingales""; ""3.3 Stopping times and the optional sampling theorem""; ""3.3.1 Stopping times""; ""3.3.2 Optional sampling theorem"" ""3.4 Variation, quadratic variation and integration""""3.4.1 Total variation and Stieltjes integration""; ""3.4.2 Quadratic variation""; ""3.4.3 Quadratic covariation""; ""3.5 Local martingales and semimartingales""; ""3.5.1 The space cM(loc)""; ""3.5.2 Semimartingales""; ""3.6 Supermartingales and the Doob�Meyer decomposition""; ""4 Stochastic Integration""; ""4.1 Outline""; ""4.2 Predictable processes""; ""4.3 Stochastic integrals: the L(2) theory""; ""4.3.1 The simplest integral""; ""4.3.2 The Hilbert space L(2)(M)""; ""4.3.3 The L(2) integral"" ""5.1.1 Basic results and properties""""5.1.2 Equivalent and locally equivalent measures on a filtered space""; ""5.1.3 Novikov�s condition""; ""5.2 Girsanov�s theorem""; ""5.2.1 Girsanov�s theorem for continuous semimartingales""; ""5.2.2 Girsanov�s theorem for Brownian motion""; ""5.3 Martingale representation theorem""; ""5.3.1 The space I(2)(M) and its orthogonal complement""; ""5.3.2 Martingale measures and the martingale representation theorem""; ""5.3.3 Extensions and the Brownian case""; ""6 Stochastic Differential Equations""; ""6.1 Introduction"" ""6.2 Formal definition of an SDE"" |
| Record Nr. | UNINA-9910145905403321 |
|
Hunt P. J (Philip James), <1964->
|
||
| Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy
| Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy |
| Autore | Hunt P. J (Philip James), <1964-> |
| Edizione | [Rev. ed.] |
| Pubbl/distr/stampa | Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (469 p.) |
| Disciplina |
332.64
332.64/57 332.6457 |
| Altri autori (Persone) | KennedyJ. E |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Derivative securities
Stocks |
| ISBN |
0-470-86360-9
1-280-27170-1 9786610271702 0-470-30038-8 0-470-86361-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Financial Derivatives in Theory and Practice""; ""Contents""; ""Preface to revised edition""; ""Preface""; ""Acknowledgements""; ""Part I: Theory""; ""1 Single-Period Option Pricing""; ""1.1 Option pricing in a nutshell""; ""1.2 The simplest setting""; ""1.3 General one-period economy""; ""1.3.1 Pricing""; ""1.3.2 Conditions for no arbitrage: existence of Z""; ""1.3.3 Completeness: uniqueness of Z""; ""1.3.4 Probabilistic formulation""; ""1.3.5 Units and numeraires""; ""1.4 A two-period example""; ""2 Brownian Motion""; ""2.1 Introduction""; ""2.2 Definition and existence""
""2.3 Basic properties of Brownian motion""""2.3.1 Limit of a random walk""; ""2.3.2 Deterministic transformations of Brownian motion""; ""2.3.3 Some basic sample path properties""; ""2.4 Strong Markov property""; ""2.4.1 Reflection principle""; ""3 Martingales""; ""3.1 Definition and basic properties""; ""3.2 Classes of martingales""; ""3.2.1 Martingales bounded in L(1)""; ""3.2.2 Uniformly integrable martingales""; ""3.2.3 Square-integrable martingales""; ""3.3 Stopping times and the optional sampling theorem""; ""3.3.1 Stopping times""; ""3.3.2 Optional sampling theorem"" ""3.4 Variation, quadratic variation and integration""""3.4.1 Total variation and Stieltjes integration""; ""3.4.2 Quadratic variation""; ""3.4.3 Quadratic covariation""; ""3.5 Local martingales and semimartingales""; ""3.5.1 The space cM(loc)""; ""3.5.2 Semimartingales""; ""3.6 Supermartingales and the Doob�Meyer decomposition""; ""4 Stochastic Integration""; ""4.1 Outline""; ""4.2 Predictable processes""; ""4.3 Stochastic integrals: the L(2) theory""; ""4.3.1 The simplest integral""; ""4.3.2 The Hilbert space L(2)(M)""; ""4.3.3 The L(2) integral"" ""5.1.1 Basic results and properties""""5.1.2 Equivalent and locally equivalent measures on a filtered space""; ""5.1.3 Novikov�s condition""; ""5.2 Girsanov�s theorem""; ""5.2.1 Girsanov�s theorem for continuous semimartingales""; ""5.2.2 Girsanov�s theorem for Brownian motion""; ""5.3 Martingale representation theorem""; ""5.3.1 The space I(2)(M) and its orthogonal complement""; ""5.3.2 Martingale measures and the martingale representation theorem""; ""5.3.3 Extensions and the Brownian case""; ""6 Stochastic Differential Equations""; ""6.1 Introduction"" ""6.2 Formal definition of an SDE"" |
| Record Nr. | UNINA-9910830663103321 |
|
Hunt P. J (Philip James), <1964->
|
||
| Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy
| Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy |
| Autore | Hunt P. J (Philip James), <1964-> |
| Edizione | [Rev. ed.] |
| Pubbl/distr/stampa | Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (469 p.) |
| Disciplina |
332.64
332.64/57 332.6457 |
| Altri autori (Persone) | KennedyJ. E |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Derivative securities
Stocks |
| ISBN |
0-470-86360-9
1-280-27170-1 9786610271702 0-470-30038-8 0-470-86361-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Financial Derivatives in Theory and Practice""; ""Contents""; ""Preface to revised edition""; ""Preface""; ""Acknowledgements""; ""Part I: Theory""; ""1 Single-Period Option Pricing""; ""1.1 Option pricing in a nutshell""; ""1.2 The simplest setting""; ""1.3 General one-period economy""; ""1.3.1 Pricing""; ""1.3.2 Conditions for no arbitrage: existence of Z""; ""1.3.3 Completeness: uniqueness of Z""; ""1.3.4 Probabilistic formulation""; ""1.3.5 Units and numeraires""; ""1.4 A two-period example""; ""2 Brownian Motion""; ""2.1 Introduction""; ""2.2 Definition and existence""
""2.3 Basic properties of Brownian motion""""2.3.1 Limit of a random walk""; ""2.3.2 Deterministic transformations of Brownian motion""; ""2.3.3 Some basic sample path properties""; ""2.4 Strong Markov property""; ""2.4.1 Reflection principle""; ""3 Martingales""; ""3.1 Definition and basic properties""; ""3.2 Classes of martingales""; ""3.2.1 Martingales bounded in L(1)""; ""3.2.2 Uniformly integrable martingales""; ""3.2.3 Square-integrable martingales""; ""3.3 Stopping times and the optional sampling theorem""; ""3.3.1 Stopping times""; ""3.3.2 Optional sampling theorem"" ""3.4 Variation, quadratic variation and integration""""3.4.1 Total variation and Stieltjes integration""; ""3.4.2 Quadratic variation""; ""3.4.3 Quadratic covariation""; ""3.5 Local martingales and semimartingales""; ""3.5.1 The space cM(loc)""; ""3.5.2 Semimartingales""; ""3.6 Supermartingales and the Doob�Meyer decomposition""; ""4 Stochastic Integration""; ""4.1 Outline""; ""4.2 Predictable processes""; ""4.3 Stochastic integrals: the L(2) theory""; ""4.3.1 The simplest integral""; ""4.3.2 The Hilbert space L(2)(M)""; ""4.3.3 The L(2) integral"" ""5.1.1 Basic results and properties""""5.1.2 Equivalent and locally equivalent measures on a filtered space""; ""5.1.3 Novikov�s condition""; ""5.2 Girsanov�s theorem""; ""5.2.1 Girsanov�s theorem for continuous semimartingales""; ""5.2.2 Girsanov�s theorem for Brownian motion""; ""5.3 Martingale representation theorem""; ""5.3.1 The space I(2)(M) and its orthogonal complement""; ""5.3.2 Martingale measures and the martingale representation theorem""; ""5.3.3 Extensions and the Brownian case""; ""6 Stochastic Differential Equations""; ""6.1 Introduction"" ""6.2 Formal definition of an SDE"" |
| Record Nr. | UNINA-9910840974003321 |
|
Hunt P. J (Philip James), <1964->
|
||
| Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||