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 instance 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 material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.

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Label

Arbitrage, credit and informational risks, editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)

Statement of responsibility

editors Caroline Hillairet (Ecole Polytechnique, France), Monique Jeanblanc (Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)

Instantiates

• Arbitrage, credit and informational risks

Publication

• New Jersey, World Scientific, 2014

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

Record ID

u308694

System control number

(OCoLC)871200176