Info
Contract theory in continuous-time models / / Jaksa Cvitanic, Jianfeng Zhang
| Contract theory in continuous-time models / / Jaksa Cvitanic, Jianfeng Zhang |
| Autore | Cvitanic Jaksa |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Springer, 2013 |
| Descrizione fisica | 1 online resource (257 p.) |
| Disciplina | 332.01519233 |
| Altri autori (Persone) | ZhangJianfeng |
| Collana | Springer finance |
| Soggetto topico |
Contracts - Mathematical models
Contracts - Philosophy Contracts - Methodology |
| ISBN |
1-283-64047-3
3-642-14200-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Introduction -- pt. 2. First best : risk sharing under full information -- pt. 3. Second best : contracting under hidden action-the case of moral hazard -- pt. 4. Third best : contracting under hidden action and hidden type-the case of moral hazard and adverse selection -- pt. 5. Backward SDEs and forward-backward SDEs. |
| Record Nr. | UNINA-9910438142803321 |
Cvitanic Jaksa
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| New York, : Springer, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Financial modelling with jump processes / Rama Cont, Peter Tankov
| Financial modelling with jump processes / Rama Cont, Peter Tankov |
| Autore | Cont, Rama |
| Pubbl/distr/stampa | Boca Raton, Fla. : Chapman & Hall/CRC, c2004 |
| Descrizione fisica | xvi, 535 p. : ill. ; 24 cm |
| Disciplina | 332.01519233 |
| Altri autori (Persone) | Tankov, Peterauthor |
| Collana | Chapman & Hall/CRC financial mathematics series |
| Soggetto topico |
Finance - Mathematical models
Jump processes |
| ISBN | 1584884134 |
| Classificazione |
AMS 91B
LC HG106.C66 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000350719707536 |
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Cont, Rama
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| Boca Raton, Fla. : Chapman & Hall/CRC, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Hidden Markov Models in Finance [[electronic resource] ] : Further Developments and Applications, Volume II / / edited by Rogemar S. Mamon, Robert J. Elliott
| Hidden Markov Models in Finance [[electronic resource] ] : Further Developments and Applications, Volume II / / edited by Rogemar S. Mamon, Robert J. Elliott |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | New York, NY : , : Springer US : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (280 p.) |
| Disciplina | 332.01519233 |
| Collana | International Series in Operations Research & Management Science |
| Soggetto topico |
Operations research
Decision making Finance Probabilities Operations Research/Decision Theory Finance, general Probability Theory and Stochastic Processes |
| ISBN | 1-4899-7442-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Robustification of an on-line EM algorithm for modelling asset prices within an HMM -- Stochastic volatility or stochastic central tendency: evidence from a hidden Markov model of the short-term interest rate -- An econometric model of the term structure of interest rates under regime-switching risk -- The LIBOR market model: a Markov-switching jump diffusion extension -- Exchange rates and net portfolio flows: a Markov-switching approach -- Hedging costs for variable annuities under regime-switching -- A stochastic approximation approach for trend-following trading -- A hidden Markov-modulated jump diffusion model for European option pricing -- An exact formula for pricing American exchange options with regime switching -- Parameter estimation in a weak hidden Markov model with independent drift and volatility -- Parameter estimation in a regime-switching model with non-normal noise. |
| Record Nr. | UNINA-9910298163903321 |
| New York, NY : , : Springer US : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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