The Resource The interval market model in mathematical finance : gametheoretic methods, Pierre Bernhard [and others]
The interval market model in mathematical finance : gametheoretic methods, Pierre Bernhard [and others]
Resource Information
The item The interval market model in mathematical finance : gametheoretic methods, Pierre Bernhard [and others] 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 The interval market model in mathematical finance : gametheoretic methods, Pierre Bernhard [and others] 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
 Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories didaway with the standard stochastic geometric diffusion 'Samuelson' market model (also known as the BlackScholes model because it is used in that most famous theory), instead opting for models that allowed minimax approachesto complement or replace stochastic methods. Among the most fruitful models were those utilizing gametheoretic tools and the socalled 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 selfcontained monograph, The Interval Market Model in Mathematical Finance: GameTheoretic Methodsassembles 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 gametheoretic finance, the work provides a detailed account of several closely relatedmodeling techniquesfor an array of problems in mathematical economics. The book isdivided into five parts, which successively address topics including: · probabilityfree BlackScholes theory; · fairprice 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 providesa welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. Itis a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also beenwritten in a manneraccessible to financiallyinclined readers with a limited technical background
 Language
 eng
 Extent
 1 online resource.
 Contents

 Robust Control Approach to option Pricing
 Continuous and DiscreteTime Option Pricing and Interval Market Model
 Vanilla Options
 Digital Options
 Validation
 Gametheoretic analysis of rainbow options in incomplete markets
 Introduction
 Emergence of RiskNeutral Probabilities from a GameTheoretic Origin
 Rainbow Options in Discrete Time, I
 Rainbow Options in Discrete Time, II
 Revisiting two classical results in dynamic portfolio management
 ContinuousTime Limits
 Credit Derivatives
 Viability Approach to Complex Options Pricing and Portfolio Insurance
 Computational Methods Based on the Guaranteed Capture Basin Algorithm
 Asset and Liability Insurance Management (ALIM) for Risk Eradication
 Merton's Optimal Dynamic Portfolio Revisited
 Option Pricing: Classic Results
 Hedging in Interval Models
 Introduction
 Fair Price Intervals
 Optimal Hedging Under RobustCost Constraints
 Appendix: Proofs
 Isbn
 9780817683887
 Label
 The interval market model in mathematical finance : gametheoretic methods
 Title
 The interval market model in mathematical finance
 Title remainder
 gametheoretic methods
 Statement of responsibility
 Pierre Bernhard [and others]
 Subject

 Applications of Mathematics.
 Business mathematics
 Business mathematics
 Business mathematics
 Economic Theory.
 Economics, Mathematical.
 Economics.
 Finance.
 Game Theory, Economics, Social and Behav. Sciences.
 Game Theory/Mathematical Methods.
 Game theory
 Game theory
 Game theory
 Mathematics.
 Quantitative Finance.
 Language
 eng
 Summary
 Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories didaway with the standard stochastic geometric diffusion 'Samuelson' market model (also known as the BlackScholes model because it is used in that most famous theory), instead opting for models that allowed minimax approachesto complement or replace stochastic methods. Among the most fruitful models were those utilizing gametheoretic tools and the socalled 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 selfcontained monograph, The Interval Market Model in Mathematical Finance: GameTheoretic Methodsassembles 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 gametheoretic finance, the work provides a detailed account of several closely relatedmodeling techniquesfor an array of problems in mathematical economics. The book isdivided into five parts, which successively address topics including: · probabilityfree BlackScholes theory; · fairprice 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 providesa welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. Itis a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also beenwritten in a manneraccessible to financiallyinclined readers with a limited technical background
 Cataloging source
 GW5XE
 Dewey number
 330.01/5195
 Index
 index present
 LC call number
 HF5691
 LC item number
 .I58 2013
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName
 Bernhard, Pierre
 Series statement
 Static & dynamic game theory
 http://library.link/vocab/subjectName

 Business mathematics
 Game theory
 Business mathematics
 Game theory
 Label
 The interval market model in mathematical finance : gametheoretic methods, Pierre Bernhard [and others]
 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

 Robust Control Approach to option Pricing
 Continuous and DiscreteTime Option Pricing and Interval Market Model
 Vanilla Options
 Digital Options
 Validation
 Gametheoretic analysis of rainbow options in incomplete markets
 Introduction
 Emergence of RiskNeutral Probabilities from a GameTheoretic Origin
 Rainbow Options in Discrete Time, I
 Rainbow Options in Discrete Time, II
 Revisiting two classical results in dynamic portfolio management
 ContinuousTime Limits
 Credit Derivatives
 Viability Approach to Complex Options Pricing and Portfolio Insurance
 Computational Methods Based on the Guaranteed Capture Basin Algorithm
 Asset and Liability Insurance Management (ALIM) for Risk Eradication
 Merton's Optimal Dynamic Portfolio Revisited
 Option Pricing: Classic Results
 Hedging in Interval Models
 Introduction
 Fair Price Intervals
 Optimal Hedging Under RobustCost Constraints
 Appendix: Proofs
 Control code
 823509025
 Dimensions
 unknown
 Extent
 1 online resource.
 File format
 unknown
 Form of item
 online
 Isbn
 9780817683887
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9780817683887
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)823509025
 Label
 The interval market model in mathematical finance : gametheoretic methods, Pierre Bernhard [and others]
 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

 Robust Control Approach to option Pricing
 Continuous and DiscreteTime Option Pricing and Interval Market Model
 Vanilla Options
 Digital Options
 Validation
 Gametheoretic analysis of rainbow options in incomplete markets
 Introduction
 Emergence of RiskNeutral Probabilities from a GameTheoretic Origin
 Rainbow Options in Discrete Time, I
 Rainbow Options in Discrete Time, II
 Revisiting two classical results in dynamic portfolio management
 ContinuousTime Limits
 Credit Derivatives
 Viability Approach to Complex Options Pricing and Portfolio Insurance
 Computational Methods Based on the Guaranteed Capture Basin Algorithm
 Asset and Liability Insurance Management (ALIM) for Risk Eradication
 Merton's Optimal Dynamic Portfolio Revisited
 Option Pricing: Classic Results
 Hedging in Interval Models
 Introduction
 Fair Price Intervals
 Optimal Hedging Under RobustCost Constraints
 Appendix: Proofs
 Control code
 823509025
 Dimensions
 unknown
 Extent
 1 online resource.
 File format
 unknown
 Form of item
 online
 Isbn
 9780817683887
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9780817683887
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)823509025
Subject
 Applications of Mathematics.
 Business mathematics
 Business mathematics
 Business mathematics
 Economic Theory.
 Economics, Mathematical.
 Economics.
 Finance.
 Game Theory, Economics, Social and Behav. Sciences.
 Game Theory/Mathematical Methods.
 Game theory
 Game theory
 Game theory
 Mathematics.
 Quantitative Finance.
Member of
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