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Hypermodels in mathematical finance [[electronic resource] ] : modelling via infinitesimal analysis / / Siu-Ah Ng
| Hypermodels in mathematical finance [[electronic resource] ] : modelling via infinitesimal analysis / / Siu-Ah Ng |
| Autore | Ng Siu-Ah |
| Pubbl/distr/stampa | River Edge, N.J., : World Scientific, c2003 |
| Descrizione fisica | 1 online resource (313 p.) |
| Disciplina | 332.6 |
| Soggetto topico |
Investments - Mathematical models
Securities - Mathematical models Risk management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-87690-9
9786611876906 981-256-452-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface; Contents; NOTATION AND CONVENTION; Chapter 1 Basic Concepts and Practice in Finance; Chapter 2 Infinitesimal Analysis and Hypermodels; Chapter 3 Absence of Arbitrage; Chapter 4 Explicit Option Pricing; Chapter 5 Pricing with Binary Tree Hypermodels; Chapter 6 Further Applications; Chapter 7 The Mathematics of Hypermodels; Appendix A Mathematica Programs; Bibliography; Index |
| Record Nr. | UNINA-9910450124503321 |
Ng Siu-Ah
|
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| River Edge, N.J., : World Scientific, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Hypermodels in mathematical finance [[electronic resource] ] : modelling via infinitesimal analysis / / Siu-Ah Ng
| Hypermodels in mathematical finance [[electronic resource] ] : modelling via infinitesimal analysis / / Siu-Ah Ng |
| Autore | Ng Siu-Ah |
| Pubbl/distr/stampa | River Edge, N.J., : World Scientific, c2003 |
| Descrizione fisica | 1 online resource (313 p.) |
| Disciplina | 332.6 |
| Soggetto topico |
Investments - Mathematical models
Securities - Mathematical models Risk management - Mathematical models |
| ISBN |
1-281-87690-9
9786611876906 981-256-452-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface; Contents; NOTATION AND CONVENTION; Chapter 1 Basic Concepts and Practice in Finance; Chapter 2 Infinitesimal Analysis and Hypermodels; Chapter 3 Absence of Arbitrage; Chapter 4 Explicit Option Pricing; Chapter 5 Pricing with Binary Tree Hypermodels; Chapter 6 Further Applications; Chapter 7 The Mathematics of Hypermodels; Appendix A Mathematica Programs; Bibliography; Index |
| Record Nr. | UNINA-9910783227403321 |
|
Ng Siu-Ah
|
||
| River Edge, N.J., : World Scientific, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Hypermodels in mathematical finance : modelling via infinitesimal analysis / / Siu-Ah Ng
| Hypermodels in mathematical finance : modelling via infinitesimal analysis / / Siu-Ah Ng |
| Autore | Ng Siu-Ah |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | River Edge, N.J., : World Scientific, c2003 |
| Descrizione fisica | 1 online resource (313 p.) |
| Disciplina | 332.6 |
| Soggetto topico |
Investments - Mathematical models
Securities - Mathematical models Risk management - Mathematical models |
| ISBN |
1-281-87690-9
9786611876906 981-256-452-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface; Contents; NOTATION AND CONVENTION; Chapter 1 Basic Concepts and Practice in Finance; Chapter 2 Infinitesimal Analysis and Hypermodels; Chapter 3 Absence of Arbitrage; Chapter 4 Explicit Option Pricing; Chapter 5 Pricing with Binary Tree Hypermodels; Chapter 6 Further Applications; Chapter 7 The Mathematics of Hypermodels; Appendix A Mathematica Programs; Bibliography; Index |
| Record Nr. | UNINA-9910819736203321 |
|
Ng Siu-Ah
|
||
| River Edge, N.J., : World Scientific, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to stochastic orders / / Félix Belzunce, Universidad de Murcia, Spain, Carolina Martínez-Riquelme, Universidad de Murcia, Spain, Julio Mulero Universidad de Alicante, Spain
| An introduction to stochastic orders / / Félix Belzunce, Universidad de Murcia, Spain, Carolina Martínez-Riquelme, Universidad de Murcia, Spain, Julio Mulero Universidad de Alicante, Spain |
| Autore | Belzunce Félix |
| Pubbl/distr/stampa | Amsterdam, [Netherlands] : , : Academic Press, , 2016 |
| Descrizione fisica | 1 online resource (175 p.) |
| Disciplina | 332.6320724 |
| Soggetto topico |
Securities - Mathematical models
Transaction costs - Mathematical models Liquidity (Economics) - Mathematical models |
| ISBN |
0-12-803826-8
0-12-803768-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910797650703321 |
|
Belzunce Félix
|
||
| Amsterdam, [Netherlands] : , : Academic Press, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to stochastic orders / / Félix Belzunce, Universidad de Murcia, Spain, Carolina Martínez-Riquelme, Universidad de Murcia, Spain, Julio Mulero Universidad de Alicante, Spain
| An introduction to stochastic orders / / Félix Belzunce, Universidad de Murcia, Spain, Carolina Martínez-Riquelme, Universidad de Murcia, Spain, Julio Mulero Universidad de Alicante, Spain |
| Autore | Belzunce Félix |
| Pubbl/distr/stampa | Amsterdam, [Netherlands] : , : Academic Press, , 2016 |
| Descrizione fisica | 1 online resource (175 p.) |
| Disciplina | 332.6320724 |
| Soggetto topico |
Securities - Mathematical models
Transaction costs - Mathematical models Liquidity (Economics) - Mathematical models |
| ISBN |
0-12-803826-8
0-12-803768-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910820775203321 |
|
Belzunce Félix
|
||
| Amsterdam, [Netherlands] : , : Academic Press, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries
| Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries |
| Autore | Fries Christian <1970-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2007 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina |
332.601
332.6015195 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Securities - Mathematical models Investments - Mathematical models |
| ISBN |
1-280-97434-6
9786610974344 0-470-17978-3 0-470-17977-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Theory, Modeling, Implementation; Contents; 1 Introduction; 1.1 Theory, Modeling, and Implementation; 1.2 Interest Rate Models and Interest Rate Derivatives; 1.3 About This Book; 1.3.1 How to Read This Book; 1.3.2 Abridged Versions; 1.3.3 Special Sections; 1.3.4 Notation; 1.3.5 Feedback; 1.3.6 Resources; I Foundations; 2 Foundations; 2.1 Probability Theory; 2.2 Stochastic Processes; 2.3 Filtration; 2.4 Brownian Motion; 2.5 Wiener Measure, Canonical Setup; 2.6 Itô Calculus; 2.6.1 Itô Integral; 2.6.2 Itô Process; 2.6.3 Itô Lemma and Product Rule
2.7 Brownian Motion with Instantaneous Correlation2.8 Martingales; 2.8.1 Martingale Representation Theorem; 2.9 Change of Measure; 2.10 Stochastic Integration; 2.11 Partial Differential Equations (PDEs); 2.11.1 Feynman-Kač Theorem; 2.12 List of Symbols; 3 Replication; 3.1 Replication Strategies; 3.1.1 Introduction; 3.1.2 Replication in a Discrete Model; 3.2 Foundations: Equivalent Martingale Measure; 3.2.1 Challenge and Solution Outline; 3.2.2 Steps toward the Universal Pricing Theorem; 3.3 Excursus: Relative Prices and Risk-Neutral Measures; 3.3.1 Why relative prices? 3.3.2 Risk-Neutral MeasureII First Applications; 4 Pricing of a European Stock Option under the Black-Scholes Model; 5 Excursus: The Density of the Underlying of a European Call Option; 6 Excursus: Interpolation of European Option Prices; 6.1 No-Arbitrage Conditions for Interpolated Prices; 6.2 Arbitrage Violations through Interpolation; 6.2.1 Example 1 : Interpolation of Four Prices; 6.2.2 Example 2: Interpolation of Two Prices; 6.3 Arbitrage- Free Interpolation of European Option Prices; 7 Hedging in Continuous and Discrete Time and the Greeks; 7.1 Introduction 7.2 Deriving the Replications Strategy from Pricing Theory7.2.1 Deriving the Replication Strategy under the Assumption of a Locally Riskless Product; 7.2.2 Black-Scholes Differential Equation; 7.2.3 Derivative V(t) as a Function of Its Underlyings S i(t); 7.2.4 Example: Replication Portfolio and PDE under a Black-Scholes Model; 7.3 Greeks; 7.3.1 Greeks of a European Call-Option under the Black-Scholes Model; 7.4 Hedging in Discrete Time: Delta and Delta-Gamma Hedging; 7.4.1 Delta Hedging; 7.4.2 Error Propagation; 7.4.3 Delta-Gamma Hedging; 7.4.4 Vega Hedging 7.5 Hedging in Discrete Time: Minimizing the Residual Error (Bouchaud-Sornette Method)7.5.1 Minimizing the Residual Error at Maturity T; 7.5.2 Minimizing the Residual Error in Each Time Step; III Interest Rate Structures, Interest Rate Products, and Analytic Pricing Formulas; Motivation and Overview; 8 Interest Rate Structures; 8.1 Introduction; 8.1.1 Fixing Times and Tenor Times; 8.2 Definitions; 8.3 Interest Rate Curve Bootstrapping; 8.4 Interpolation of Interest Rate Curves; 8.5 Implementation; 9 Simple Interest Rate Products; 9.1 Interest Rate Products Part 1: Products without Optionality 9.1.1 Fix, Floating, and Swap |
| Record Nr. | UNINA-9910144721403321 |
|
Fries Christian <1970->
|
||
| Hoboken, N.J., : Wiley-Interscience, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries
| Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries |
| Autore | Fries Christian <1970-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2007 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina |
332.601
332.6015195 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Securities - Mathematical models Investments - Mathematical models |
| ISBN |
1-280-97434-6
9786610974344 0-470-17978-3 0-470-17977-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Theory, Modeling, Implementation; Contents; 1 Introduction; 1.1 Theory, Modeling, and Implementation; 1.2 Interest Rate Models and Interest Rate Derivatives; 1.3 About This Book; 1.3.1 How to Read This Book; 1.3.2 Abridged Versions; 1.3.3 Special Sections; 1.3.4 Notation; 1.3.5 Feedback; 1.3.6 Resources; I Foundations; 2 Foundations; 2.1 Probability Theory; 2.2 Stochastic Processes; 2.3 Filtration; 2.4 Brownian Motion; 2.5 Wiener Measure, Canonical Setup; 2.6 Itô Calculus; 2.6.1 Itô Integral; 2.6.2 Itô Process; 2.6.3 Itô Lemma and Product Rule
2.7 Brownian Motion with Instantaneous Correlation2.8 Martingales; 2.8.1 Martingale Representation Theorem; 2.9 Change of Measure; 2.10 Stochastic Integration; 2.11 Partial Differential Equations (PDEs); 2.11.1 Feynman-Kač Theorem; 2.12 List of Symbols; 3 Replication; 3.1 Replication Strategies; 3.1.1 Introduction; 3.1.2 Replication in a Discrete Model; 3.2 Foundations: Equivalent Martingale Measure; 3.2.1 Challenge and Solution Outline; 3.2.2 Steps toward the Universal Pricing Theorem; 3.3 Excursus: Relative Prices and Risk-Neutral Measures; 3.3.1 Why relative prices? 3.3.2 Risk-Neutral MeasureII First Applications; 4 Pricing of a European Stock Option under the Black-Scholes Model; 5 Excursus: The Density of the Underlying of a European Call Option; 6 Excursus: Interpolation of European Option Prices; 6.1 No-Arbitrage Conditions for Interpolated Prices; 6.2 Arbitrage Violations through Interpolation; 6.2.1 Example 1 : Interpolation of Four Prices; 6.2.2 Example 2: Interpolation of Two Prices; 6.3 Arbitrage- Free Interpolation of European Option Prices; 7 Hedging in Continuous and Discrete Time and the Greeks; 7.1 Introduction 7.2 Deriving the Replications Strategy from Pricing Theory7.2.1 Deriving the Replication Strategy under the Assumption of a Locally Riskless Product; 7.2.2 Black-Scholes Differential Equation; 7.2.3 Derivative V(t) as a Function of Its Underlyings S i(t); 7.2.4 Example: Replication Portfolio and PDE under a Black-Scholes Model; 7.3 Greeks; 7.3.1 Greeks of a European Call-Option under the Black-Scholes Model; 7.4 Hedging in Discrete Time: Delta and Delta-Gamma Hedging; 7.4.1 Delta Hedging; 7.4.2 Error Propagation; 7.4.3 Delta-Gamma Hedging; 7.4.4 Vega Hedging 7.5 Hedging in Discrete Time: Minimizing the Residual Error (Bouchaud-Sornette Method)7.5.1 Minimizing the Residual Error at Maturity T; 7.5.2 Minimizing the Residual Error in Each Time Step; III Interest Rate Structures, Interest Rate Products, and Analytic Pricing Formulas; Motivation and Overview; 8 Interest Rate Structures; 8.1 Introduction; 8.1.1 Fixing Times and Tenor Times; 8.2 Definitions; 8.3 Interest Rate Curve Bootstrapping; 8.4 Interpolation of Interest Rate Curves; 8.5 Implementation; 9 Simple Interest Rate Products; 9.1 Interest Rate Products Part 1: Products without Optionality 9.1.1 Fix, Floating, and Swap |
| Record Nr. | UNINA-9910829940203321 |
|
Fries Christian <1970->
|
||
| Hoboken, N.J., : Wiley-Interscience, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical finance : theory, modeling, implementation / / Christian Fries
| Mathematical finance : theory, modeling, implementation / / Christian Fries |
| Autore | Fries Christian <1970-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2007 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 332.601/5195 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Securities - Mathematical models Investments - Mathematical models |
| ISBN |
1-280-97434-6
9786610974344 0-470-17978-3 0-470-17977-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Theory, Modeling, Implementation; Contents; 1 Introduction; 1.1 Theory, Modeling, and Implementation; 1.2 Interest Rate Models and Interest Rate Derivatives; 1.3 About This Book; 1.3.1 How to Read This Book; 1.3.2 Abridged Versions; 1.3.3 Special Sections; 1.3.4 Notation; 1.3.5 Feedback; 1.3.6 Resources; I Foundations; 2 Foundations; 2.1 Probability Theory; 2.2 Stochastic Processes; 2.3 Filtration; 2.4 Brownian Motion; 2.5 Wiener Measure, Canonical Setup; 2.6 Itô Calculus; 2.6.1 Itô Integral; 2.6.2 Itô Process; 2.6.3 Itô Lemma and Product Rule
2.7 Brownian Motion with Instantaneous Correlation2.8 Martingales; 2.8.1 Martingale Representation Theorem; 2.9 Change of Measure; 2.10 Stochastic Integration; 2.11 Partial Differential Equations (PDEs); 2.11.1 Feynman-Kač Theorem; 2.12 List of Symbols; 3 Replication; 3.1 Replication Strategies; 3.1.1 Introduction; 3.1.2 Replication in a Discrete Model; 3.2 Foundations: Equivalent Martingale Measure; 3.2.1 Challenge and Solution Outline; 3.2.2 Steps toward the Universal Pricing Theorem; 3.3 Excursus: Relative Prices and Risk-Neutral Measures; 3.3.1 Why relative prices? 3.3.2 Risk-Neutral MeasureII First Applications; 4 Pricing of a European Stock Option under the Black-Scholes Model; 5 Excursus: The Density of the Underlying of a European Call Option; 6 Excursus: Interpolation of European Option Prices; 6.1 No-Arbitrage Conditions for Interpolated Prices; 6.2 Arbitrage Violations through Interpolation; 6.2.1 Example 1 : Interpolation of Four Prices; 6.2.2 Example 2: Interpolation of Two Prices; 6.3 Arbitrage- Free Interpolation of European Option Prices; 7 Hedging in Continuous and Discrete Time and the Greeks; 7.1 Introduction 7.2 Deriving the Replications Strategy from Pricing Theory7.2.1 Deriving the Replication Strategy under the Assumption of a Locally Riskless Product; 7.2.2 Black-Scholes Differential Equation; 7.2.3 Derivative V(t) as a Function of Its Underlyings S i(t); 7.2.4 Example: Replication Portfolio and PDE under a Black-Scholes Model; 7.3 Greeks; 7.3.1 Greeks of a European Call-Option under the Black-Scholes Model; 7.4 Hedging in Discrete Time: Delta and Delta-Gamma Hedging; 7.4.1 Delta Hedging; 7.4.2 Error Propagation; 7.4.3 Delta-Gamma Hedging; 7.4.4 Vega Hedging 7.5 Hedging in Discrete Time: Minimizing the Residual Error (Bouchaud-Sornette Method)7.5.1 Minimizing the Residual Error at Maturity T; 7.5.2 Minimizing the Residual Error in Each Time Step; III Interest Rate Structures, Interest Rate Products, and Analytic Pricing Formulas; Motivation and Overview; 8 Interest Rate Structures; 8.1 Introduction; 8.1.1 Fixing Times and Tenor Times; 8.2 Definitions; 8.3 Interest Rate Curve Bootstrapping; 8.4 Interpolation of Interest Rate Curves; 8.5 Implementation; 9 Simple Interest Rate Products; 9.1 Interest Rate Products Part 1: Products without Optionality 9.1.1 Fix, Floating, and Swap |
| Record Nr. | UNINA-9910877137603321 |
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Fries Christian <1970->
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||
| Hoboken, N.J., : Wiley-Interscience, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical finance and probability : a discrete introduction / Pablo Koch Medina, Sandro Merino
| Mathematical finance and probability : a discrete introduction / Pablo Koch Medina, Sandro Merino |
| Autore | Koch Medina, Pablo |
| Pubbl/distr/stampa | Basel ; Boston ; Berlin : Birkhäuser, c2003 |
| Descrizione fisica | viii, 328 p. ; 25 cm |
| Disciplina | 332.601519 |
| Altri autori (Persone) | Merino, Sandroauthor |
| Soggetto topico |
Investments - Mathematics
Investments - Mathematical models Probabilities Securities - Mathematical models |
| ISBN | 3764369213 |
| Classificazione |
AMS 90-01
AMS 60-01 AMS 91-01 AMS 91B28 AMS 91B30 LC HG4515.3.K63 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000631879707536 |
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Koch Medina, Pablo
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| Basel ; Boston ; Berlin : Birkhäuser, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Stochastic volatility and realized stochastic volatility models / / Makoto Takahashi, Yasuhiro Omori, and Toshiaki Watanabe
| Stochastic volatility and realized stochastic volatility models / / Makoto Takahashi, Yasuhiro Omori, and Toshiaki Watanabe |
| Autore | Takahashi Makoto <1920-1976, > |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Singapore : , : Springer Nature Singapore Pte Ltd., , [2023] |
| Descrizione fisica | 1 online resource (VIII, 113 p. 41 illus., 26 illus. in color.) |
| Disciplina | 332.015195 |
| Collana | JSS Research Series in Statistics |
| Soggetto topico |
Securities - Mathematical models
Stochastic models |
| ISBN | 981-9909-35-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 Introduction -- 2 Stochastic Volatility Model -- 3 Asymmetric Stochastic Volatility Model -- 4 Stochastic Volatility Model with Generalized Hyperbolic Skew Student’s t Error -- 5 Realized Stochastic Volatility Model. |
| Record Nr. | UNINA-9910698640503321 |
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Takahashi Makoto <1920-1976, >
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| Singapore : , : Springer Nature Singapore Pte Ltd., , [2023] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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