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1.

図書

図書
Hans Föllmer, Alexander Schied
出版情報: Berlin : W. de Gruyter, 2002  ix, 422 p. ; 25 cm
シリーズ名: De Gruyter studies in mathematics ; 27
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目次情報: 続きを見る
Introduction
Mathematical finance in one period / I:
Arbitrage theory / 1:
Assets, portfolios, and arbitrage opportunities / 1.1:
Absence of arbitrage and martingale measures / 1.2:
Derivative securities / 1.3:
Complete market models / 1.4:
Geometric characterization of arbitrage-free models / 1.5:
Contingent initial data / 1.6:
Preferences / 2:
Preference relations and their numerical representation / 2.1:
Von Neumann-Morgenstern representation / 2.2:
Expected utility / 2.3:
Uniform preferences / 2.4:
Robust preferences on asset profiles / 2.5:
Probability measures with given marginals / 2.6:
Optimality and equilibrium / 3:
Portfolio optimization and the absence of arbitrage / 3.1:
Exponential utility and relative entropy / 3.2:
Optimal contingent claims / 3.3:
Microeconomic equilibrium / 3.4:
Monetary measures of risk / 4:
Risk measures and their acceptance sets / 4.1:
Robust representation of convex risk measures / 4.2:
Convex risk measures on L[infinity] / 4.3:
Value at Risk / 4.4:
Measures of risk in a financial market / 4.5:
Shortfall risk / 4.6:
Dynamic hedging / II:
Dynamic arbitrage theory / 5:
The multi-period market model / 5.1:
Arbitrage opportunities and martingale measures / 5.2:
European contingent claims / 5.3:
Complete markets / 5.4:
The binomial model / 5.5:
Convergence to the Black-Scholes price / 5.6:
American contingent claims / 6:
Hedging strategies for the seller / 6.1:
Stopping strategies for the buyer / 6.2:
Arbitrage-free prices / 6.3:
Lower Snell envelopes / 6.4:
Superhedging / 7:
P-supermartingales and upper Snell envelopes / 7.1:
Uniform Doob decomposition / 7.2:
Superhedging of American and European claims / 7.3:
Superhedging with derivatives / 7.4:
Efficient hedging / 8:
Quantile hedging / 8.1:
Hedging with minimal shortfall risk / 8.2:
Hedging under constraints / 9:
Absence of arbitrage opportunities / 9.1:
Upper Snell envelopes / 9.2:
Superhedging and risk measures / 9.4:
Minimizing the hedging error / 10:
Local quadratic risk / 10.1:
Minimal martingale measures / 10.2:
Variance-optimal hedging / 10.3:
Appendix
Convexity / A.1:
Absolutely continuous probability measures / A.2:
The Neyman-Pearson lemma / A.3:
The essential supremum of a family of random variables / A.4:
Spaces of measures / A.5:
Some functional analysis / A.6:
Introduction
Mathematical finance in one period / I:
Arbitrage theory / 1:
2.

図書

図書
Hans Daduna
出版情報: Berlin : Springer, c2001  x, 138 p. ; 24 cm
シリーズ名: Lecture notes in computer science ; 2046
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3.

図書

図書
Hans Föllmer, Alexander Schied
出版情報: New York : Walter de Gruyter, c2004  xi, 459 p. ; 25 cm
シリーズ名: De Gruyter studies in mathematics ; 27
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4.

図書

図書
edited by Isaac Elishakoff
出版情報: Wien : Springer-Verlag, c1999  393 p. ; 24 cm
シリーズ名: CISM courses and lectures ; no. 388
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5.

図書

図書
Thomas Mikosch
出版情報: Singapore ; River Edge, N.J. : World Scientific, c1998  ix, 212 p. ; 23 cm
シリーズ名: Advanced series on statistical science & applied probability ; v. 6
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6.

図書

図書
Kazuaki Taira
出版情報: Berlin : Wiley-VCH, c1998  215 p. ; 24 cm
シリーズ名: Mathematical research ; vol. 106
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7.

図書

図書
Robert J. Elliott and P. Ekkehard Kopp
出版情報: New York ; Tokyo : Springer, c1999  ix, 292 p. ; 25 cm
シリーズ名: Springer finance
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目次情報: 続きを見る
Pricing by Arbitrage
Martingale Measures
The Fundamental Theorem of Asset Pricing
Complete Markets and Martingale Representation
Stopping Times and American Options
A Review of Continuous Time Stochastic Calculus
European Options in Continuous Time
The American Option
Bonds and Term Structure
Consumption-Investment Strategies
Pricing by Arbitrage
Martingale Measures
The Fundamental Theorem of Asset Pricing
8.

図書

図書
Gregory F. Lawler
出版情報: Providence, R.I. : American Mathematical Society, c2005  xi, 242 p. ; 27 cm
シリーズ名: Mathematical surveys and monographs ; v. 114
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9.

図書

図書
Subal C. Kumbhakar, C.A. Knox Lovell
出版情報: Cambridge : New York : Cambridge University Press, 2000  x, 333 p. ; 24 cm
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10.

図書

図書
Richard Serfozo
出版情報: New York : Springer-Verlag, c1999  xiv, 300 p. ; 24 cm
シリーズ名: Applications of mathematics ; 44
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