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| 005 | 20110623171220 | |
| 008 | 110623s2008 flu b 001 0 eng d | |
| 010 | ▼a 2007031483 | |
| 020 | ▼a 9781584886266 (alk. paper) | |
| 020 | ▼a 1584886269 (alk. paper) | |
| 035 | ▼a (KERIS)REF000013188401 | |
| 040 | ▼a DLC ▼c DLC ▼d C#P ▼d YDXCP ▼d BWX ▼d DLC ▼d 211009 | |
| 041 | 1 | ▼a eng ▼h fre |
| 050 | 0 0 | ▼a HG4515.3 ▼b .L3613 2008 |
| 082 | 0 0 | ▼a 332.64/530151922 ▼2 22 |
| 084 | ▼a 332.6453 ▼2 DDCK | |
| 090 | ▼a 332.6453 ▼b L223iE2 | |
| 100 | 1 | ▼a Lamberton, Damien. |
| 240 | 1 0 | ▼a Introduction au calcul stochastique applique a la finance. ▼l English |
| 245 | 1 0 | ▼a Introduction to stochastic calculus applied to finance / ▼c Damien Lamberton, Bernard Lapeyre. |
| 250 | ▼a 2nd ed., [New ed.] | |
| 260 | ▼a Boca Raton : ▼b Chapman & Hall/CRC, ▼c c2008. | |
| 300 | ▼a 253 p. ; ▼c 25 cm. | |
| 490 | 1 | ▼a Chapman & Hall/CRC financial mathematics series |
| 504 | ▼a Includes bibliographical references (p. 243-250) and index. | |
| 650 | 0 | ▼a Investments ▼x Mathematics. |
| 650 | 0 | ▼a Stochastic analysis. |
| 650 | 0 | ▼a Options (Finance) ▼x Mathematical models. |
| 700 | 1 | ▼a Lapeyre, Bernard. |
| 830 | 0 | ▼a Chapman & Hall/CRC financial mathematics series. |
| 945 | ▼a KLPA |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 과학도서관/Sci-Info(2층서고)/ | 청구기호 332.6453 L223iE2 | 등록번호 121210683 | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
목차
INTRODUCTION
DISCRETE-TIME MODELS
Discrete-time formalism
Martingales and arbitrage opportunities
Complete markets and option pricing
Problem: Cox, Ross and Rubinstein model
OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS
Stopping time
The Snell envelope
Decomposition of supermartingales
Snell envelope and Markov chains
Application to American options
BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS
General comments on continuous-time processes
Brownian motion
Continuous-time martingales
Stochastic integral and Ito calculus
Stochastic differential equations
THE BLACK-SCHOLES MODEL
Description of the model
Change of probability: Representation of martingales
Pricing and hedging options in the Black-Scholes model
American options
Implied volatility and local volatility models
The Black-Scholes model with dividends and call/put symmetry
Problems
OPTION PRICING AND PARTIAL DIFFERENTIAL EQUATIONS
European option pricing and diffusions
Solving parabolic equations numerically
American options
INTEREST RATE MODELS
Modeling principles
Some classical models
ASSET MODELS WITH JUMPS
Poisson process
Dynamics of the risky asset
Martingales in a jump-diffusion model
Pricing options in a jump-diffusion model
CREDIT RISK MODELS
Structural models
Intensity-based models
Copulas
SIMULATION AND ALGORITHMS FOR FINANCIAL MODELS
Simulation and financial models
Introduction to variance reduction methods
Computer experiments
APPENDIX
Normal random variables
Conditional expectation
Separation of convex sets
BIBLIOGRAPHY
INDEX
Exercises appear at the end of each chapter.
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