Consistency Problems for Heath-Jarrow-Morton Interest Rate Models [[electronic resource] /] / by Damir Filipovic |
Autore | Filipovic Damir |
Edizione | [1st ed. 2001.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
Descrizione fisica | 1 online resource (X, 138 p.) |
Disciplina | 332.82015118 |
Collana | Lecture Notes in Mathematics |
Soggetto topico |
Applied mathematics
Engineering mathematics Finance Economics, Mathematical Probabilities Applications of Mathematics Finance, general Quantitative Finance Probability Theory and Stochastic Processes |
ISBN | 3-540-44548-X |
Classificazione |
91B28
60H15 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
Record Nr. | UNISA-996466374803316 |
Filipovic Damir | ||
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. di Salerno | ||
|
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models / / by Damir Filipovic |
Autore | Filipovic Damir |
Edizione | [1st ed. 2001.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
Descrizione fisica | 1 online resource (X, 138 p.) |
Disciplina | 332.82015118 |
Collana | Lecture Notes in Mathematics |
Soggetto topico |
Applied mathematics
Engineering mathematics Finance Economics, Mathematical Probabilities Applications of Mathematics Finance, general Quantitative Finance Probability Theory and Stochastic Processes |
ISBN | 3-540-44548-X |
Classificazione |
91B28
60H15 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
Record Nr. | UNINA-9910144599403321 |
Filipovic Damir | ||
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|
Paris-Princeton Lectures on Mathematical Finance 2002 [[electronic resource] /] / by Peter Bank, Fabrice Baudoin, Hans Föllmer, L. C. G. Rogers, Halil Mete Soner, Nizar Touzi ; edited by René Carmona, Erhan Çınlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi |
Autore | Bank Peter |
Edizione | [1st ed. 2003.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 |
Descrizione fisica | 1 online resource (X, 178 p.) |
Disciplina | 332.0151 |
Collana | Lecture Notes in Mathematics |
Soggetto topico |
Economics, Mathematical
Game theory Probabilities Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Probability Theory and Stochastic Processes |
ISBN | 3-540-44859-4 |
Classificazione | 91B28 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | M.H. Soner, N. Touzi: The Problem of Super-replication under Constraints -- F. Baudoin: Modelling Anticipations on Financial Markets -- L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis -- P. Bank, H. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View. |
Record Nr. | UNISA-996466384003316 |
Bank Peter | ||
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. di Salerno | ||
|
Paris-Princeton Lectures on Mathematical Finance 2002 / / by Peter Bank, Fabrice Baudoin, Hans Föllmer, L. C. G. Rogers, Halil Mete Soner, Nizar Touzi ; edited by René Carmona, Erhan Çınlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi |
Autore | Bank Peter |
Edizione | [1st ed. 2003.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 |
Descrizione fisica | 1 online resource (X, 178 p.) |
Disciplina | 332.0151 |
Collana | Lecture Notes in Mathematics |
Soggetto topico |
Economics, Mathematical
Game theory Probabilities Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Probability Theory and Stochastic Processes |
ISBN | 3-540-44859-4 |
Classificazione | 91B28 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | M.H. Soner, N. Touzi: The Problem of Super-replication under Constraints -- F. Baudoin: Modelling Anticipations on Financial Markets -- L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis -- P. Bank, H. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View. |
Record Nr. | UNINA-9910144602003321 |
Bank Peter | ||
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|
Paris-Princeton Lectures on Mathematical Finance 2003 [[electronic resource] /] / by Tomasz R. Bielecki, Tomas Björk, Monique Jeanblanc, Marek Rutkowski, Jose A. Scheinkman, Wei Xiong ; edited by René Carmona, Erhan Çınlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi |
Autore | Bielecki Tomasz R |
Edizione | [1st ed. 2004.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 |
Descrizione fisica | 1 online resource (X, 254 p.) |
Disciplina | 510 |
Collana | Lecture Notes in Mathematics |
Soggetto topico |
Economics, Mathematical
Probabilities Game theory Quantitative Finance Probability Theory and Stochastic Processes Game Theory, Economics, Social and Behav. Sciences |
ISBN | 3-540-44468-8 |
Classificazione | 91B28 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | T. Bielecki, M. Jeanblanc, Marek Rutkowski: Hedging of Defaultable Claims -- T. Björk: On the Geometry of Interest Rate Models -- J.A. Scheinkman, W. Xiong: Heterogeneous Beliefs, Speculation and Trading in Financial Markets. |
Record Nr. | UNISA-996466502203316 |
Bielecki Tomasz R | ||
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. di Salerno | ||
|
Paris-Princeton Lectures on Mathematical Finance 2003 / / by Tomasz R. Bielecki, Tomas Björk, Monique Jeanblanc, Marek Rutkowski, Jose A. Scheinkman, Wei Xiong ; edited by René Carmona, Erhan Çınlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi |
Autore | Bielecki Tomasz R |
Edizione | [1st ed. 2004.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 |
Descrizione fisica | 1 online resource (X, 254 p.) |
Disciplina | 510 |
Collana | Lecture Notes in Mathematics |
Soggetto topico |
Economics, Mathematical
Probabilities Game theory Quantitative Finance Probability Theory and Stochastic Processes Game Theory, Economics, Social and Behav. Sciences |
ISBN | 3-540-44468-8 |
Classificazione | 91B28 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | T. Bielecki, M. Jeanblanc, Marek Rutkowski: Hedging of Defaultable Claims -- T. Björk: On the Geometry of Interest Rate Models -- J.A. Scheinkman, W. Xiong: Heterogeneous Beliefs, Speculation and Trading in Financial Markets. |
Record Nr. | UNINA-9910144618503321 |
Bielecki Tomasz R | ||
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|