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電子ブック

EB
Yuri Kabanov, Mher Safarian
出版情報: [Berlin ; Heidelberg] : Springer, [201-]  1 online resource (xiv, 294 p.)
シリーズ名: Springer finance
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目次情報: 続きを見る
Approximative Hedging / 1:
Black-Scholes Formula Revisited / 1.1:
Pricing by Replication / 1.1.1:
Explicit Formulae / 1.1.2:
Discussion / 1.1.3:
Leland-Lott Theorem / 1.2:
Formulation and Comments / 1.2.1:
Proof / 1.2.2:
Constant Coefficient: Discripancy / 1.3:
Main Result / 1.3.1:
Pergamenshchikov Theorem / 1.3.2:
Rate of Convergence of the Replications Error / 1.4:
Formulation / 1.4.1:
Preparatory Manipulations / 1.4.2:
Convenient Representations, Explicit Formulae, and Useful Bounds / 1.4.3:
Tools / 1.4.4:
Analysis of the Principal Terms: Proof of Proposition 1.4.5 / 1.4.5:
Asymptotics of Gaussian Integrals / 1.4.6:
Functional Limit Theorem for ? = 1/2 / 1.5:
Limit Theorem for Semimartingale Scheme / 1.5.1:
Problem Reformulation / 1.5.3:
Tightness / 1.5.4:
Limit Measure / 1.5.5:
Identification of the Limit / 1.5.6:
Superhedging by Buy-and-Hold / 1.6:
Levental-Skorokhod Theorem / 1.6.1:
Extensions for One-Side Transaction Costs / 1.6.2:
Hedging of Vector-Valued Contingent Claims / 1.6.4:
Arbitrage Theory for Frictionless Markets / 2:
Models without Friction / 2.1:
DMW Theorem / 2.1.1:
Auxiliary Results: Measurable Subsequences and the Kreps-Yan Theorem / 2.1.2:
Proof of the DMW Theorem / 2.1.3:
Fast Proof of the DMW Theorem / 2.1.4:
NA and Conditional Distributions of Price Increments / 2.1.5:
Comment on Absolute Continuous Martingale Measures / 2.1.6:
Complete Markets and Replicable contingent Claims / 2.1.7:
DMW Theorem with Restricted Information / 2.1.8:
Hedging Theorem for American-Type Options / 2.1.9:
Stochastic Discounting Factors / 2.1.10:
Optional Decomposition Theorem / 2.1.11:
Martingale Measures with Bounded Densities / 2.1.13:
Utility Maximization and convex Duality / 2.1.14:
Discrete-Time Infinite-Horizon Model / 2.2:
Martingale Measures in Infinite-Horizon Model / 2.2.1:
No Free Lunch for Models with Infinite Time Horizon / 2.2.2:
No Free Lunch with Vanishing Risk / 2.2.3:
Example: "Retiring" Process / 2.2.4:
The Delbaen-Schachemayer Theory in Continuous Time / 2.2.5:
Arbitrage Theory under Transaction Costs / 3:
Models with Transaction Costs / 3.1:
Basic Model / 3.1.1:
Variants / 3.1.2:
No-arbitrage Problem: Abstract Approach / 3.1 3:
The Grigoriev Theorem / 3.2.1:
Counterexamples / 3.2.4:
A Complement: The Rásonyi Theorem / 3.2.5:
Arbitrage Opportunities of the Second Kind / 3.2.6:
Hedging of European Options / 3.3:
Hedging Theorem: Finite ? / 3.3.1:
Hedging Theorem: Discrete Time, Arbitrary ? / 3.3.2:
Hedging of American Options / 3.4:
American Options: Finite ? / 3.4.1:
American Options: Arbitrary ? / 3.4.2:
Complementary Results and Comments / 3.4.3:
Ramifications / 3.5:
Models with Incomplete Information / 3.5.1:
No Arbitrage Criteria: Finite ? / 3.5.2:
No Arbitrage Criteria: Arbitrary ? / 3.5.3:
Hedging Theorem / 3.5.4:
Hedging Theorems: Continuous Time / 3.6:
Introductory Comments / 3.6.1:
Model Specification / 3.6.2:
Hedging Theorem in Abstract Setting / 3.6.3:
Hedging Theorem: Proof / 3.6.4:
Rásonyi Counterexample / 3.6.5:
Campi-Schachermayer Model / 3.6.6:
Hedging Theorem for American Options / 3.6.7:
When Does a Consistent Price System Exits? / 3.6.8:
Asymptotic Arbitrage Opportunities of the Second Kind / 3.7:
Consumption-Investment Problems / 4:
Consumption-Investment without Friction / 4.1:
The Merton Problem / 4.1.1:
The HJB Equation and a Verification Theorem / 4.1.2:
Proof of the Merton Theorem / 4.1.3:
Robustness of the Merton Solution / 4.1.4:
Consumption-Investment under Transaction Costs / 4.2:
The Model / 4.2.1:
Goal Functionals / 4.2.2:
The Hamilton-Jacobi-Bellman Equation / 4.2.3:
Viscosity Solution / 4.2.4:
Ishii's Lemma / 4.2.5:
Uniqueness of the Solution and Lyapunov Functions / 4.3:
Uniqueness Theorem / 4.3.1:
Existence of Lyapunov Function and Classical Supersolutions / 4.3 2:
Supersolutions and Properties of the Bellman Function / 4.4:
When is W Finite on K? / 4.4.1:
Strict Local Supersolutions / 4.4.2:
Dynamic Programming Principle / 4.5:
The Bellman Function and the HJB Euation / 4.6:
Properties of the Bellman Function / 4.7:
The Subdifferential: Gneralities / 4.7.1:
The Bellman Function of the Two-Asset Model / 4.7.2:
Lower Bounds for the Bellman Function / 4.7.3:
The Davis-Norman Solution / 4.8:
Two-Asset Model: The Result / 4.8.1:
Structure of Bellman Function / 4.8.2:
Study of the Scalar Problem / 4.8.3:
Skorohod Problem / 4.8.4:
Optimal Strategy / 4.8.5:
Precisions on the No-Transaction Region / 4.8.6:
Liquidity Premium / 4.9:
Non-Robustness with Respect to Transaction Costs / 4.9.1:
First-Order Asymptotic Expansion / 4.9.2:
Exceptional Case: ? = 1 / 4.9.3:
Appendix / 5:
Facts from Convex Analysis / 5.1:
Césaro Convergence / 5.2:
Komló Theorem / 5.2.1:
Von Weizsäcker Theorem / 5.2.2:
Delbaen-Schachermayer Lemma / 5.2.4:
Facts from Probability / 5.3:
Essential Supremum / 5.3.1:
Generalized Martingales / 5.3.2:
Equivalent Probabilities / 5.3.3:
Snell Envelopes of Q-Martingales / 5.3.4:
Measurable Selection / 5.4:
Skorokhod Problem and SDE with Reflections / 5.5:
Deterministic Skorokhod Problem / 5.6.1:
Skorokhod Mapping / 5.6.2:
Stochastic Skorokhod Problem / 5.6.3:
Bibliographical Comments
References
Index
Approximative Hedging / 1:
Black-Scholes Formula Revisited / 1.1:
Pricing by Replication / 1.1.1:
2.

図書

図書
Murray J. Horn
出版情報: Cambridge [Eng.] : Cambridge University Press, 1995  ix, 263 p. ; 23 cm
シリーズ名: Political economy of institutions and decisions
所蔵情報: loading…
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