Arbitrage Theory in Continuous Time

Descripción

24x15cm, xii,312 pp. Contents: Introduction The binomial model Stochastic integrals Differential equations Portfolio Dynamics Arbitrage pricing Completeness and hedging Parity relations and Delta hedging 1. Introduction 2. The Binomial Model 3. Stochastic Integrals 4. Differential Equations 5. Portfolio Dynamics 6. Arbitrage Pricing 7. Completeness and Hedging 8. Parity Relations and Delta Hedging 9. Several Underlying Assets 10. Incomplete Markets 11. Dividends 12. Currency Derivatives 13. Barrier Options 14. Stochastic Optimal Control 15. Bonds and Interest Rates 16. Short Rate Models 17. Martingale Models for the Short Rate 18. Forward Rate Models 19. Change of Numeraire 20. Forwards and Futures. Some minor rubbing. Small stain to binding. VG., dustwrapper.

N° de ref. del artículo 022179

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Detalles bibliográficos

Título

Arbitrage Theory in Continuous Time

Editor

Oxford University Press, Oxford

Fecha de publicación

1998

Encuadernación

orig.boards

Catálogos de vendedores

• Financial Derivatives