The Resource Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)
Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)
Resource Information
The item Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.This item is available to borrow from 1 library branch.
Resource Information
The item Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.
This item is available to borrow from 1 library branch.
- Summary
- This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics.--
- Language
- eng
- Extent
- xii, 262 pages
- Contents
-
- Preface
- Arbitrage
- No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana
- A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier
- On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier
- Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
- Credit risk
- Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu
- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey
- Dynamic one-default model / Shiqi Song
- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti
- Control problem and information risks
- Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski
- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac
- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet
- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier
- Isbn
- 9789814602068
- Label
- Arbitrage, credit and informational risks
- Title
- Arbitrage, credit and informational risks
- Statement of responsibility
- editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)
- Language
- eng
- Summary
- This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics.--
- Assigning source
- Provided by Publisher
- Cataloging source
- DLC
- http://library.link/vocab/creatorName
- Hillairet, Caroline
- Illustrations
- illustrations
- Index
- index present
- Literary form
- non fiction
- Nature of contents
- bibliography
- http://library.link/vocab/relatedWorkOrContributorDate
- 1947-
- http://library.link/vocab/relatedWorkOrContributorName
-
- Jeanblanc-Picqué, Monique
- Jiao, Ying
- Series statement
- Peking University series in mathematics
- Series volume
- Vol. 5
- http://library.link/vocab/subjectName
-
- Arbitrage
- Credit
- Options (Finance)
- Stochastic analysis
- Label
- Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)
- 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
- Preface -- Arbitrage -- No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana -- A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier -- On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier -- Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc -- Credit risk -- Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier
- Control code
- FIEb17611362
- Dimensions
- 23 cm.
- Extent
- xii, 262 pages
- Isbn
- 9789814602068
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Media type code
-
- n
- Other physical details
- illustrations
- System control number
- (OCoLC)871200176
- Label
- Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)
- 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
- Preface -- Arbitrage -- No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana -- A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier -- On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier -- Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc -- Credit risk -- Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu -- Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey -- Dynamic one-default model / Shiqi Song -- Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti -- Control problem and information risks -- Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski -- A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac -- A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet -- Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier
- Control code
- FIEb17611362
- Dimensions
- 23 cm.
- Extent
- xii, 262 pages
- Isbn
- 9789814602068
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Media type code
-
- n
- Other physical details
- illustrations
- System control number
- (OCoLC)871200176
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Arbitrage-credit-and-informational-risks/iHh5L_zke6w/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Arbitrage-credit-and-informational-risks/iHh5L_zke6w/">Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute Library</a></span></span></span></span></div>
