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Title Option pricing, interest rates and risk management / edited by E. Jouini, J. Cvitanić, Marek Musiela
Published Cambridge : Cambridge University Press, 2001


Location Call no. Vol. Availability
 MELB  332.0151 Jou/Opi  AVAILABLE
Description xvi, 669 pages : illustrations ; 26 cm
Series Handbooks in mathematical finance
Handbooks in mathematical finance.
Contents Arbitrage theory / Yu. M. Kabanov -- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp -- American options : symmetry properties / J. Detemple -- Purely discontinuous asset price processes / D.B. Madan -- Latent variable models for stochastic discount factors / R. Garcia and É. Renault -- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman -- A geometric view of interest rate theory / T. Björk -- Towards a central interest rate model / A. Brace, T. Dun and G. Barton -- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela -- Modelling of forward Libor and swap rates / M. Rutkowski -- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski -- Towards a theory of volatility trading / P. Carr and D. Madan -- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman -- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer -- A guided tour through quadratic hedging approaches / M. Schweizer -- Theory of portfolio optimization in markets with frictions / J. Cvitanić -- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao
Bibliography Includes bibliographical references
Subject Options (Finance) -- Prices -- Mathematical models.
Hedging (Finance) -- Mathematical models.
Investment analysis -- Mathematical models.
Derivative securities -- Prices -- Mathematical models.
Interest rates -- Mathematical models.
Risk management.
Securities -- Mathematical models.
Author Musiela, Marek, 1950-
Jouini, E. (Elyès), 1965-
Cvitanić, Jakša.
LC no. 00052911
ISBN 0521792371