Mathematical finance--Bachelier Congress, 2000 : selected papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000 / Helyette Geman ... [et al.] (editors)
(Springer finance)
| データ種別 | 電子書籍 |
|---|---|
| 出版者 | Berlin ; New York : Springer |
| 出版年 | c2002 |
書誌詳細を非表示
| 書誌ID | OB01026088 |
|---|---|
| 本文言語 | 英語 |
| 一般注記 | Includes bibliographical references Machine generated contents note: Bachelier and His Times: A Conversation with Bernard Bru1 -- M.S. Taqqu -- Modern Finance Theory Within One Lifetime41 -- P. Samuelson -- Future Possibilities in Finance Theory and Finance Practice47 -- R.C. Merton -- Brownian Motion and the General Diffusion: Scale & Clock75 -- H.P. McKean -- Rare Events, Large Deviations85 -- S.R.S. Varadhan -- Conquering the Greeks in Monte Carlo: Efficient Calculation -- of the Market Sensitivities and Hedge-Ratios of Financial Assets -- by Direct Numerical Simulation93 -- M. Avellaneda, R. Gamba -- On the Term Structure of Futures and Forward Prices111 -- T. Bj6rk, C. Landen -- Displaced and Mixture Diffusions -- for Analytically-Tractable Smile Models 151 -- D. Brigo, F. Mercurio -- The Theory of Good-Deal Pricing in Financial Markets175 -- A. Cerny, S. Hodges -- Spread Option Valuation and the Fast Fourier Transform 203 -- M.A.H. Dempster, S.S.G. Hong -- The Law of Geometric Brownian Motion and its Integral, Revisited; -- Application to Conditional Moments221 -- C. Donati-Martin, H. Matsumoto, M. Yor -- The Generalized Hyperbolic Model: Financial Derivatives -- and Risk M easures 245 -- E. Eberlein, K. Prause -- Using the Hull and White Two-Factor Model -- in Bank Treasury Risk Management269 -- R.J. Elliott, J. Van der Hoek -- Default Risk and Hazard Process281 -- M. Jeanblanc, M. Rutkowski -- Utility-Based Derivative Pricing in Incomplete Markets313 -- J. Kallsen -- Pricing Credit Derivatives in Credit Classes Frameworks339 -- F. Moraux, P. Navatte -- An Autoregressive Conditional Binomial Option Pricing Model 353 -- J.-L. Prigent, O. Renault, O. Scaillet -- Markov Chains and the Potential Approach to Modelling Interest Rates -- and Exchange Rates 375 -- L.C.G. Rogers, F.A. Yousaf -- Theory and Calibration of HJM with Shape Factors 407 -- A. Roncoroni, P. Guiotto -- Optimal Investment in Incomplete Financial Markets427 -- W. Schachermayer -- Evaluating Investments in Disruptive Technologies 463 -- E. Schwartz, C. Zozaya-Gorostiza -- Quickest Detection Problems in the Technical Analysis -- of the Financial D ata 487 -- A. Shiryaev. License restrictions may limit access |
| 著者標目 | *Bachelier Finance Society World Congress (1st 2000 Paris, France) Geman, Hélyette |
| 件 名 | LCSH:Financial futures -- Congresses
全ての件名で検索
LCSH:Speculation -- Congresses 全ての件名で検索 LCSH:Brownian motion processes -- Congresses 全ての件名で検索 |
| 分 類 | LCC:HG6024.3 DC21:332.64/5 |
| 巻冊次 | alk. paper ; ISBN:354067781X RefWorks出力（各巻） |
| 資料種別 | 機械可読データファイル |
| 所蔵情報へのリンク | Mathematical finance : bachelier Congress, 2000 : selected papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000 / Helyette Geman ... [et al.] (editors). |
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