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The Resource Mathematics of derivative securities, edited by M.A.H. Dempster and S.R. Pliska

Mathematics of derivative securities, edited by M.A.H. Dempster and S.R. Pliska

Label
Mathematics of derivative securities
Title
Mathematics of derivative securities
Statement of responsibility
edited by M.A.H. Dempster and S.R. Pliska
Contributor
Subject
Language
eng
Member of
Cataloging source
DLC
Dewey number
332.63/2
Illustrations
illustrations
Index
index present
LC call number
HG6024.A3
LC item number
M38 1997
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
  • 1938-
  • 1944-
  • 1995
http://library.link/vocab/relatedWorkOrContributorName
  • Dempster, M. A. H.
  • Pliska, Stanley R.
  • Mathematical Finance Programme
Series statement
Publications of the Newton Institute
http://library.link/vocab/subjectName
Derivative securities
Label
Mathematics of derivative securities, edited by M.A.H. Dempster and S.R. Pliska
Instantiates
Publication
Note
Selected papers of the Mathematical Finance Programme, held at the Isaac Newton Institute for Mathematical Sciences, Cambridge, Jan. through June 1995
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Some combinations of Asian, Parisian and Barrier options
  • M. Yor [and others]
  • Co-movement term structure and the valuation of energy spread options
  • A. Mbanefo
  • Pricing and hedging with smiles
  • B. Dupire
  • Stochastic calculus and Markov methods
  • L.C.G. Rogers
  • Characterisation of economic equilibria which support Black-Scholes option pricing
  • S.D. Hodges and M.J.P. Selby
  • On the numeraire portfolio
  • P. Artzner
  • Convergence of Snell envelopes and critical prices in the American Put
  • N.J. Cutland [and others]
Control code
36461610
Dimensions
24 cm
Extent
xvii, 582 pages
Isbn
9780521584241
Lccn
97003027
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
Label
Mathematics of derivative securities, edited by M.A.H. Dempster and S.R. Pliska
Publication
Note
Selected papers of the Mathematical Finance Programme, held at the Isaac Newton Institute for Mathematical Sciences, Cambridge, Jan. through June 1995
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Some combinations of Asian, Parisian and Barrier options
  • M. Yor [and others]
  • Co-movement term structure and the valuation of energy spread options
  • A. Mbanefo
  • Pricing and hedging with smiles
  • B. Dupire
  • Stochastic calculus and Markov methods
  • L.C.G. Rogers
  • Characterisation of economic equilibria which support Black-Scholes option pricing
  • S.D. Hodges and M.J.P. Selby
  • On the numeraire portfolio
  • P. Artzner
  • Convergence of Snell envelopes and critical prices in the American Put
  • N.J. Cutland [and others]
Control code
36461610
Dimensions
24 cm
Extent
xvii, 582 pages
Isbn
9780521584241
Lccn
97003027
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations

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