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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)

Creator
Editor
Contributor
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
Work
Publication
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
Instance
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)
Creator
Contributor
Editor
Subject
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.--
Member of
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)
Instantiates
Publication
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)
Publication
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

Subject

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