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Hypermodels in mathematical finance : modelling via infinitesimal analysis /
At the beginning of the new millennium, two unstoppable processes aretaking place in the world: (1) globalization of the economy; (2)information revolution. As a consequence, there is greaterparticipation of the world population in capital market investment, such as bonds and stocks and their deriva...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
River Edge, N.J. :
World Scientific,
©2003.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Ng, Siu-Ah. | |
| 245 | 1 | 0 | |a Hypermodels in mathematical finance : |b modelling via infinitesimal analysis / |c Siu-Ah Ng. |
| 260 | |a River Edge, N.J. : |b World Scientific, |c ©2003. | ||
| 300 | |a 1 online resource (xiii, 298 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 504 | |a Includes bibliographical references (pages 289-294) and index. | ||
| 505 | 0 | |a Cover -- Preface -- Contents -- Notation and Convention -- Chapter 1 Basic Concepts and Practice in Finance -- 1.1 Introducing mathematical finance -- 1.2 Basic securities -- 1.2.1 Stocks -- 1.2.2 Bonds -- 1.2.3 Others: bank accounts, currencies and commodities -- 1.3 Derivative securities -- 1.3.1 Options -- 1.3.2 Other derivative securities -- 1.4 Theory and practice -- Chapter 2 Infinitesimal Analysis and Hypermodels -- 2.1 Motivations -- 2.2 Hypermodels and analysis -- Chapter 3 Absence of Arbitrage -- 3.1 Introduction -- 3.2 Absence of arbitrage and the binary tree hypermodel -- 3.2.1 A mini-model -- 3.2.2 Binary tree model -- 3.2.3 Binary tree hypermodel -- 3.2.4 Finiteness of stock prices -- 3.2.5 Risk-neutral measure for binary tree hypermodel -- 3.3 Black-Scholes type PDE from virtually arbitrage-free -- 3.3.1 Virtually arbitrage free -- Chapter 4 Explicit Option Pricing -- 4.1 From hypermodel to PDE -- 4.1.1 Barrier conditions for derivative claims -- 4.1.2 Tangible price processes -- 4.1.3 Differential equations in a hypermodel -- 4.1.4 Black-Scholes type PDE -- 4.2 Pricing options explicitly -- 4.2.1 The classical Black-Scholes formula -- 4.3 The barrier option -- 4.4 The American option -- Chapter 5 Pricing with Binary Tree Hypermodels -- 5.1 Hypermodels for the Cox-Ross-Rubinstein approach -- 5.2 The CRR matrix and Examples -- Chapter 6 Further Applications -- 6.1 Sensitivity analysis -- 6.1.1 The Greeks -- 6.1.2 Computing the Greeks from translating -- 6.2 Implied volatility -- 6.3 Term structure of interest rates -- Chapter 7 The Mathematics of Hypermodels -- 7.1 Mathematical logic and Classical Hyperanalysis -- 7.1.1 Logic and hypermodels *R -- 7.1.2 Construction of *R using the compactness theorem -- 7.1.3 Construction of *R using ultrapowers -- 7.1.4 Some basic properties of hypermodel *R -- 7.1.5 Hypermodels of R in richer languages -- 7.1.6 Some examples -- 7.1.7 References -- 7.2 The hyperuniverse -- 7.2.1 Doing mathematics in the language of set theory -- 7.2.2 Hyperuniverse and the hyperextension -- 7.2.3 The existence of the hyperextension -- 7.2.4 Applications and examples -- 7.2.5 References -- 7.3 Hyperanalysis of probability -- 7.3.1 The Loeb measure construction -- 7.3.2 Loeb integration theory -- 7.3.3 Some examples -- 7.4 Hypermodels of Brownian Motion -- 7.4.1 Anderson's discrete hypermodel of Brownian motion -- 7.4.2 Some 650_table.seel AddXMLRootTags.pl amazon-info.seel amazonls_marc.seel archivearchivein archivecontntdmin archivein archiveinarchive archiveinarchivehtmlfooter archiveinarchivehtmlheader archiveinarchivemonthlyreport archiveinarchive-service autoconfig balancereport balancereport.template balancetrack balancetrackfile balancetrackfile.template balancetrack.template base64 bash_logger.config bash_logger.config.template bash_logger.sh bridcrosswalk bridgetformat bridwatcher bridwatcher-idebk bridwrapgoogle bridwrapmarc bridwrapmarcxml bridwraponix bridwrapsoh bsdatainnotify 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| 505 | 0 | |a queuewatcher quiet.properties rsyncfilewatcher rsyncloginwatcher runErrLevel runErrLevel.template runRE runRE.template runVal runVal.template schemas selectrecs slxout sweepFiles.bash tempfile toplevelnotify transferredLabelFiles.lst updatelocalmvmactiveslist upload_eSerials.bash Utilities validationnotify vdatadev vdataqa vdatatst vSerials.bash wckbindata wckbinprovider wckbsweep wcp wcpFilesweep.groovy wcpinmatching wcpinmatchinghtmlfooter wcpinmatchinghtmlheader wcpinmatching-idebk wcpinmatchingmonthlyreport wcplabels wcplabelsaging wcplabelsamples wcpmanifest wcpmanifestdg1 wcpmatching wmsacqpoimport wmsacqpoimportmonthlyreport wmsinacqpoimport wmsinacqpoimporthtmlfooter wmsinacqpoimporthtmlheader wmsinacqpoimportmonthlyreport wmsinacqpoimport-qa-service wmsinacqpoimporttestenqueue wmsinpatron wmsinpatronhtmlfooter wmsinpatronhtmlheader wmsinpatronmonthlyreport wmsreports x12sweep xmlchunker xmlcleanup xmlcleanupnew xmlcleanuptest xmlcomposition XmlCompositionRequest.xsd xmlcompositionservice xmljoiner XmlToolsLib.jar continuous hypermodels of Brownian motion -- 7.4.3 Some examples -- 7.5 It244; Integral and Stochastic Differential Equations -- 7.5.1 Some general remarks -- 7.5.2 Wiener integral and lt244; integral -- 7.5.3 It244;'s lemma and the Stratonovitch integral -- 7.6 Solving Stochastic differential equations -- 7.7 Malliavin calculus -- 7.8 White noise analysis -- 7.9 Universality and homogeneity properties of hyperfinite models -- Appendix. | |
| 588 | 0 | |a Print version record. | |
| 520 | |a At the beginning of the new millennium, two unstoppable processes aretaking place in the world: (1) globalization of the economy; (2)information revolution. As a consequence, there is greaterparticipation of the world population in capital market investment, such as bonds and stocks and their derivatives. | ||
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Investments |x Mathematical models. | |
| 650 | 0 | |a Securities |x Mathematical models. | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 6 | |a Investissements |x Modèles mathématiques. | |
| 650 | 6 | |a Gestion du risque |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Investments |x Mathematical models |2 fast | |
| 650 | 7 | |a Risk management |x Mathematical models |2 fast | |
| 650 | 7 | |a Securities |x Mathematical models |2 fast | |
| 758 | |i has work: |a Hypermodels in mathematical finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGCJGC4gCxvH6k333jh7f3 |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Ng, Siu-Ah. |t Hypermodels in mathematical finance. |d River Edge, N.J. : World Scientific, ©2003 |w (DLC) 52066471 |
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