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The Interval Market Model in Mathematical Finance (Record no. 22743)

000 -LEADER
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003 - CONTROL NUMBER IDENTIFIER
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005 - DATE AND TIME OF LATEST TRANSACTION
control field 20140310151443.0
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780817683887
978-0-8176-8388-7
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HB144
Classification number QA269-272
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 519
Edition number 23
264 #1 -
-- New York, NY :
-- Springer New York :
-- Imprint: Birkhäuser,
-- 2013.
912 ## -
-- ZDB-2-SMA
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Bernhard, Pierre.
Relator term author.
245 14 - IMMEDIATE SOURCE OF ACQUISITION NOTE
Title The Interval Market Model in Mathematical Finance
Medium [electronic resource] :
Remainder of title Game-Theoretic Methods /
Statement of responsibility, etc by Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin.
300 ## - PHYSICAL DESCRIPTION
Extent XVI, 346 p. 64 illus.
Other physical details online resource.
440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE
Title Static & Dynamic Game Theory: Foundations & Applications
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note Preface -- Part I Revisiting Two Classic Results in Dynamic Portfolio Management -- Merton’s Optimal Dynamic Portfolio Revisited -- Option Pricing: Classic Results -- Introduction -- Part II Hedging in Interval Models -- Fair Price Intervals -- Optimal Hedging Under Robust-Cost Constraints -- Appendix: Proofs -- Continuous and Discrete-Time Option Pricing and Interval Market Model -- Part III Robust-Control Approach to Option Pricing -- Vanilla Options -- Digital Options -- Validation -- Introduction -- Part IV Game-Theoretic Analysis of Rainbow Options in Incomplete Markets -- Emergence of Risk-Neutral Probabilities -- Rainbow Options in Discrete Time, I -- Rainbow Options in Discrete Time, II -- Continuous-Time Limits -- Credit Derivatives -- Computational Methods Based on the Guaranteed Capture Basin Algorithm -- Viability Approach to Complex Option Pricing and Portfolio Insurance -- Asset and Liability Insurance Management (ALIM) for Risk Eradication -- References -- Index.  .
520 ## - SUMMARY, ETC.
Summary, etc Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approaches to complement or replace stochastic methods. Among the most fruitful models were those utilizing game-theoretic tools and the so-called interval market model. Over time, these models have slowly but steadily gained influence in the financial community, providing a useful alternative to classical methods. A self-contained monograph, The Interval Market Model in Mathematical Finance: Game-Theoretic Methods assembles some of the most important results, old and new, in this area of research. Written by seven of the most prominent pioneers of the interval market model and game-theoretic finance, the work provides a detailed account of several closely related modeling techniques for an array of problems in mathematical economics. The book is divided into five parts, which successively address topics including: ·         probability-free Black-Scholes theory; ·         fair-price interval of an option; ·         representation formulas and fast algorithms for option pricing; ·         rainbow options; ·         tychastic approach of mathematical finance based upon viability theory. This book provides a welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. It is a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also been written in a manner accessible to financially-inclined readers with a limited technical background.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Mathematics.
Topical term or geographic name as entry element Finance.
Topical term or geographic name as entry element Economics.
Topical term or geographic name as entry element Economics, Mathematical.
Topical term or geographic name as entry element Mathematics.
Topical term or geographic name as entry element Game Theory, Economics, Social and Behav. Sciences.
Topical term or geographic name as entry element Game Theory/Mathematical Methods.
Topical term or geographic name as entry element Quantitative Finance.
Topical term or geographic name as entry element Economic Theory.
Topical term or geographic name as entry element Applications of Mathematics.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Engwerda, Jacob C.
Relator term author.
Personal name Roorda, Berend.
Relator term author.
Personal name Schumacher, J.M.
Relator term author.
Personal name Kolokoltsov, Vassili.
Relator term author.
Personal name Saint-Pierre, Patrick.
Relator term author.
Personal name Aubin, Jean-Pierre.
Relator term author.
710 2# - ADDED ENTRY--CORPORATE NAME
Corporate name or jurisdiction name as entry element SpringerLink (Online service)
773 0# - HOST ITEM ENTRY
Title Springer eBooks
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text Printed edition:
International Standard Book Number 9780817683870
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier http://dx.doi.org/10.1007/978-0-8176-8388-7
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Item type E-Book
Copies
Price effective from Permanent location Date last seen Not for loan Date acquired Source of classification or shelving scheme Koha item type Damaged status Lost status Withdrawn status Current location Full call number
2014-04-09AUM Main Library2014-04-09 2014-04-09 E-Book   AUM Main Library519
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