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Author Esser, Angelika, 1972-

Title Pricing in (in)complete markets : structural analysis and applications / Angelika Esser
Published Berlin ; New York : Springer, [2004]
©2004

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Location Call no. Vol. Availability
 MELB  332.645 Ess/Pii  AVAILABLE
Description xi, 122 pages : illustrations ; 24 cm
Series Lecture notes in economics and mathematical systems ; 537
Lecture notes in economics and mathematical systems ; 537
Contents 1. Motivation and Overview -- 2. Pricing by Change of Measure and Numeraire -- 3. Comparison of Discrete and Continuous Models -- 4. Valuation of Power Options -- 5. Modeling Feedback Effects Using Stochastic Liquidity -- 6. Summary and Outlook -- A. Power Options in Stochastic Volatility Models
Notes Originally presented as the author's thesis (Ph.D. - Goethe-University, Frankfurt am Main) titled "Pricing in (in)complete markets : structural analysis and applications," May 2003
Bibliography Includes bibliographical references and index
Notes Lecture notes in economics and mathematical systems no:537 0075-8442
Subject Derivative securities -- Prices -- Mathematical models.
Liquidity (Economics) -- Mathematical models.
LC no. 2003069468
ISBN 3540208178 (soft cover : alk. paper)