Coverart for item
The Resource The interval market model in mathematical finance : game-theoretic methods, Pierre Bernhard [and others]

The interval market model in mathematical finance : game-theoretic methods, Pierre Bernhard [and others]

Label
The interval market model in mathematical finance : game-theoretic methods
Title
The interval market model in mathematical finance
Title remainder
game-theoretic methods
Statement of responsibility
Pierre Bernhard [and others]
Contributor
Subject
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 Black-Scholes 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 game-theoretic tools and the so-called 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 self-contained monograph, The Interval Market Model in Mathematical Finance: Game-Theoretic 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 game-theoretic 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: · probability-free Black-Scholes theory; · fair-price 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 financially-inclined readers with a limited technical background
Member of
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 : game-theoretic methods, Pierre Bernhard [and others]
Instantiates
Publication
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 Discrete-Time Option Pricing and Interval Market Model
  • Vanilla Options
  • Digital Options
  • Validation
  • Game-theoretic analysis of rainbow options in incomplete markets
  • Introduction
  • Emergence of Risk-Neutral Probabilities from a Game-Theoretic Origin
  • Rainbow Options in Discrete Time, I
  • Rainbow Options in Discrete Time, II
  • Revisiting two classical results in dynamic portfolio management
  • Continuous-Time 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 Robust-Cost 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
10.1007/978-0-8176-8388-7
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 : game-theoretic methods, Pierre Bernhard [and others]
Publication
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 Discrete-Time Option Pricing and Interval Market Model
  • Vanilla Options
  • Digital Options
  • Validation
  • Game-theoretic analysis of rainbow options in incomplete markets
  • Introduction
  • Emergence of Risk-Neutral Probabilities from a Game-Theoretic Origin
  • Rainbow Options in Discrete Time, I
  • Rainbow Options in Discrete Time, II
  • Revisiting two classical results in dynamic portfolio management
  • Continuous-Time 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 Robust-Cost 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
10.1007/978-0-8176-8388-7
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)823509025

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
Processing Feedback ...