Option pricing, interest rates and risk management / (Record no. 521647)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03439nam a22003858i 4500 |
| 001 - CONTROL NUMBER | |
| control field | CR9780511569708 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | UkCbUP |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200124160318.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m|||||o||d|||||||| |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 090520s2001||||enk o ||1 0|eng|d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780511569708 (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9780521792370 (hardback) |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | UkCbUP |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | UkCbUP |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG6024.A3 |
| Item number | A38 2001 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332/.01/51 |
| Edition number | 21 |
| 245 00 - TITLE STATEMENT | |
| Title | Option pricing, interest rates and risk management / |
| Statement of responsibility, etc | edited by E. Jouini, J. Cvitanić, Marek Musiela. |
| 264 #1 - Production, Publication, Distribution, Manufacture, and Copyright Notice (R) | |
| Place of production, publication, distribution, manufacture (R) | Cambridge : |
| Name of producer, publisher, distributor, manufacturer (R) | Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2001. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (xvi, 669 pages) : |
| Other physical details | digital, PDF file(s). |
| 336 ## - Content Type (R) | |
| Content type term (R) | text |
| Content type code (R) | txt |
| Source (NR) | rdacontent |
| 337 ## - Media Type (R) | |
| Media type term (R) | computer |
| Media type code (R) | c |
| Source (NR) | rdamedia |
| 338 ## - Carrier Type (R) | |
| Carrier type term (R) | online resource |
| Carrier type code (R) | cr |
| Source (NR) | rdacarrier |
| 500 ## - GENERAL NOTE | |
| General note | Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Arbitrage theory / Yu. M. Kabanov -- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp -- American options : symmetry properties / J. Detemple -- Purely discontinuous asset price processes / D.B. Madan -- Latent variable models for stochastic discount factors / R. Garcia and É. Renault -- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman -- A geometric view of interest rate theory / T. Björk -- Towards a central interest rate model / A. Brace, T. Dun and G. Barton -- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela -- Modelling of forward Libor and swap rates / M. Rutkowski -- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski -- Towards a theory of volatility trading / P. Carr and D. Madan -- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman -- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer -- A guided tour through quadratic hedging approaches / M. Schweizer -- Theory of portfolio optimization in markets with frictions / J. Cvitanić -- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Derivative securities |
| General subdivision | Prices |
| -- | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Interest rates |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Risk management. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Securities |
| General subdivision | Mathematical models. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Jouini, E. |
| Fuller form of name | (Elyès), |
| Dates associated with a name | 1965- |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Cvitanić, J. |
| Fuller form of name | (Jaksa), |
| Dates associated with a name | 1962- |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Musiela, Marek, |
| Dates associated with a name | 1950- |
| Relator term | editor. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| International Standard Book Number | 9780521792370 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1017/CBO9780511569708">https://doi.org/10.1017/CBO9780511569708</a> |
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