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Option pricing, interest rates and risk management

Option pricing, interest rates and risk management (2회 대출)

자료유형
단행본
개인저자
Jouini, E. (Elyes), 1965-. Cvitanic, J. (Jaksa), 1962-. Musiela, Marek, 1950-.
서명 / 저자사항
Option pricing, interest rates and risk management / edited by E. Jouini, J. Cvitanic, Marek Musiela.
발행사항
Cambridge :   Cambridge University Press,   2001.  
형태사항
xvi , 669 p. : ill. ; 26 cm.
총서사항
Handbooks in mathematical finance
ISBN
0521792371
서지주기
Includes bibliographical references.
일반주제명
Derivative securities -- Prices -- Mathematical models. Interest rates -- Mathematical models. Risk management. Securities -- Mathematical models.
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245 0 0 ▼a Option pricing, interest rates and risk management / ▼c edited by E. Jouini, J. Cvitanic, Marek Musiela.
260 ▼a Cambridge : ▼b Cambridge University Press, ▼c 2001.
300 ▼a xvi , 669 p. : ▼b ill. ; ▼c 26 cm.
490 1 ▼a Handbooks in mathematical finance
504 ▼a Includes bibliographical references.
650 0 ▼a Derivative securities ▼x Prices ▼x Mathematical models.
650 0 ▼a Interest rates ▼x Mathematical models.
650 0 ▼a Risk management.
650 0 ▼a Securities ▼x Mathematical models.
700 1 ▼a Jouini, E. ▼q (Elyes), ▼d 1965-.
700 1 ▼a Cvitanic, J. ▼q (Jaksa), ▼d 1962-.
700 1 ▼a Musiela, Marek, ▼d 1950-.
830 0 ▼a Handbooks in mathematical finance.
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.0151 O63 등록번호 111368467 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 2 소장처 중앙도서관/서고6층/ 청구기호 332.0151 O63 등록번호 111648279 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

Introduction; Part I. Option Pricing: Theory and Practice: 1. Arbitrage theory Yu. M. Kabanov; 2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp; 3. American options: symmetry properties J. Detemple; 4. Purely discontinuous asset price processes D. Madan; 5. Latent variable models for stochastic discount factors R. Garcia and E. Renault; 6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman; Part II. Interest Rate Modeling: 7. A geometric view of interest rate theory T. Bjork; 8. Towards a central interest rate model A. Brace, T. Dun and G. Barton; 9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela; 10. Libor market model with semimartingales F. Jamshidian; 11. Modeling of forward Libor and swap rates M. Rutkowski; Part III. Risk Management and Hedging: 12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski; 13. Towards a theory of volatility trading P. Carr and D. Madan; 14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman; 15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer; 16. A guided tour through quadratic hedging approaches M. Schweizer; Part IV. Utility Maximization: 17. Theory of portfolio optimization in markets with frictions J. Cvitanic; 18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.


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