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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 | ||
| ||
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 | ||
| ||
Indifference pricing : theory and applications / / edited by Rene Carmona
| Indifference pricing : theory and applications / / edited by Rene 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 (Rene) |
| Collana | Princeton series in financial engineering |
| Soggetto topico |
Nonlinear pricing - Mathematical models
Prices - Mathematical models |
| ISBN |
9786612531439
9781282531437 1282531433 9781400833115 1400833116 |
| 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-9910974742303321 |
| Princeton, : Princeton University Press, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
