The Resource Financial modeling : a backward stochastic differential equations perspective, Stéphane Crépey
Financial modeling : a backward stochastic differential equations perspective, Stéphane Crépey
Resource Information
The item Financial modeling : a backward stochastic differential equations perspective, Stéphane Crépey represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Financial modeling : a backward stochastic differential equations perspective, Stéphane Crépey represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey's book starts with a few chapters on classical stochastic processes material, and then ... fasten your seatbelt ... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey's book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics. Marek Musiela, Deputy Director of the OxfordMan Institute of Quantitative Finance
 Language
 eng
 Extent
 1 online resource.
 Contents

 Monte Carlo Methods
 Tree Methods
 Finite Differences
 Calibration Methods
 Applications
 Simulation/Regression Pricing Schemes in Diffusive Setups
 Simulation/Regression Pricing Schemes in Pure Jump Setups
 JumpDiffusion Setup with Regime Switching (**)
 Backward Stochastic Differential Equations
 Analytic Approach
 An Introductory Course in Stochastic Processes
 Extensions
 Appendix
 Technical Proofs (**)
 Exercises
 Corrected Problem Sets
 Some Classes of DiscreteTime Stochastic Processes
 Some Classes of ContinuousTime Stochastic Processes
 Elements of Stochastic Analysis
 Pricing Equations
 Martingale Modeling
 Benchmark Models
 Numerical Solutions
 Isbn
 9783642442520
 Label
 Financial modeling : a backward stochastic differential equations perspective
 Title
 Financial modeling
 Title remainder
 a backward stochastic differential equations perspective
 Statement of responsibility
 Stéphane Crépey
 Subject

 Computer science.
 Differential equations, partial.
 Electronic books
 Electronic bookss
 Finance  Mathematical models
 Finance  Mathematical models
 Finance  Mathematical models
 Finance.
 Mathematics.
 Partial Differential Equations.
 Quantitative Finance.
 Stochastic differential equations
 Stochastic differential equations
 Stochastic differential equations
 Computational Science and Engineering.
 Language
 eng
 Summary
 Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey's book starts with a few chapters on classical stochastic processes material, and then ... fasten your seatbelt ... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey's book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics. Marek Musiela, Deputy Director of the OxfordMan Institute of Quantitative Finance
 Cataloging source
 GW5XE
 http://library.link/vocab/creatorName
 Crépey, Stéphane
 Dewey number
 332.01/5118
 Index
 index present
 LC call number
 HG106
 LC item number
 .C74 2013
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 Series statement
 Springer finance textbooks,
 http://library.link/vocab/subjectName

 Finance
 Stochastic differential equations
 Finance
 Stochastic differential equations
 Label
 Financial modeling : a backward stochastic differential equations perspective, Stéphane Crépey
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Monte Carlo Methods
 Tree Methods
 Finite Differences
 Calibration Methods
 Applications
 Simulation/Regression Pricing Schemes in Diffusive Setups
 Simulation/Regression Pricing Schemes in Pure Jump Setups
 JumpDiffusion Setup with Regime Switching (**)
 Backward Stochastic Differential Equations
 Analytic Approach
 An Introductory Course in Stochastic Processes
 Extensions
 Appendix
 Technical Proofs (**)
 Exercises
 Corrected Problem Sets
 Some Classes of DiscreteTime Stochastic Processes
 Some Classes of ContinuousTime Stochastic Processes
 Elements of Stochastic Analysis
 Pricing Equations
 Martingale Modeling
 Benchmark Models
 Numerical Solutions
 Control code
 849513175
 Dimensions
 unknown
 Extent
 1 online resource.
 File format
 unknown
 Form of item
 online
 Isbn
 9783642442520
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783642371134
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)849513175
 Label
 Financial modeling : a backward stochastic differential equations perspective, Stéphane Crépey
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Monte Carlo Methods
 Tree Methods
 Finite Differences
 Calibration Methods
 Applications
 Simulation/Regression Pricing Schemes in Diffusive Setups
 Simulation/Regression Pricing Schemes in Pure Jump Setups
 JumpDiffusion Setup with Regime Switching (**)
 Backward Stochastic Differential Equations
 Analytic Approach
 An Introductory Course in Stochastic Processes
 Extensions
 Appendix
 Technical Proofs (**)
 Exercises
 Corrected Problem Sets
 Some Classes of DiscreteTime Stochastic Processes
 Some Classes of ContinuousTime Stochastic Processes
 Elements of Stochastic Analysis
 Pricing Equations
 Martingale Modeling
 Benchmark Models
 Numerical Solutions
 Control code
 849513175
 Dimensions
 unknown
 Extent
 1 online resource.
 File format
 unknown
 Form of item
 online
 Isbn
 9783642442520
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783642371134
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)849513175
Subject
 Computer science.
 Differential equations, partial.
 Electronic books
 Electronic bookss
 Finance  Mathematical models
 Finance  Mathematical models
 Finance  Mathematical models
 Finance.
 Mathematics.
 Partial Differential Equations.
 Quantitative Finance.
 Stochastic differential equations
 Stochastic differential equations
 Stochastic differential equations
 Computational Science and Engineering.
Genre
Member of
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Financialmodelingabackwardstochastic/Gx4ofwtfNGk/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Financialmodelingabackwardstochastic/Gx4ofwtfNGk/">Financial modeling : a backward stochastic differential equations perspective, Stéphane Crépey</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>