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Financial modeling : a backward stochastic differential equations perspective

Financial modeling : a backward stochastic differential equations perspective (Loan 5 times)

Material type
단행본
Personal Author
Crepey, Stephane.
Title Statement
Financial modeling : a backward stochastic differential equations perspective / Stephane Crepey.
Publication, Distribution, etc
Berlin ;   New York :   Springer,   2013.  
Physical Medium
xix, 458 p. : ill. ; 25 cm.
ISBN
9783642371127
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Finance -- Mathematical models. Stochastic differential equations. Mathematics. Differential equations, partial. Finance. Computer science. Computational Science and Engineering. Quantitative Finance. Partial Differential Equations.
000 01069namuu2200313 a 4500
001 000045797337
005 20140423163629
008 140423s2013 gw a b 001 0 eng
020 ▼a 9783642371127
040 ▼a 211009 ▼c 211009 ▼d 211009
082 0 4 ▼a 332.0285 ▼2 23
084 ▼a 332.0285 ▼2 DDCK
090 ▼a 332.0285 ▼b C917f
100 1 ▼a Crepey, Stephane.
245 1 0 ▼a Financial modeling : ▼b a backward stochastic differential equations perspective / ▼c Stephane Crepey.
260 ▼a Berlin ; ▼a New York : ▼b Springer, ▼c 2013.
300 ▼a xix, 458 p. : ▼b ill. ; ▼c 25 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Stochastic differential equations.
650 0 ▼a Mathematics.
650 0 ▼a Differential equations, partial.
650 0 ▼a Finance.
650 0 ▼a Computer science.
650 0 ▼a Computational Science and Engineering.
650 0 ▼a Quantitative Finance.
650 0 ▼a Partial Differential Equations.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.0285 C917f Accession No. 121229523 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

Part I: An Introductory Course in Stochastic Processes.- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes.- 3.Elements of Stochastic Analysis.- Part II: Pricing Equations.- 4.Martingale Modeling.- 5.Benchmark Models.- Part III: Numerical Solutions.- 6.Monte Carlo Methods.- 7.Tree Methods.- 8.Finite Differences.- 9.Callibration Methods.- Part IV: Applications.- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups.- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups.- Part V: Jump-Diffusion Setup with Regime Switching ( ).- 12.Backward Stochastic Differential Equations.- 13.Analytic Approach.- 14.Extensions.- Part VI: Appendix.- A.Technical Proofs ( ).- B.Exercises.- C.Corrected Problem Sets.


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