[EAN: 9783540208174], Neubuch, [PU: Springer Berlin Heidelberg], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY; STOCHASTICVOLATILITY; CALCULUS; MODELING; QUANTITATIVEFINANCE, Druck auf Anfrage Neuware - Printed after ordering - In this book, the authorsinvestigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. 140 pp. Englisch, Books<
[EAN: 9783540208174], Neubuch, [PU: Springer Berlin Heidelberg Jan 2004], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY… Mehr…
[EAN: 9783540208174], Neubuch, [PU: Springer Berlin Heidelberg Jan 2004], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY; STOCHASTICVOLATILITY; CALCULUS; MODELING; QUANTITATIVEFINANCE, This item is printed on demand - it takes 3-4 days longer - Neuware -In this book, the authorsinvestigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. 140 pp. Englisch, Books<
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[EAN: 9783540208174], Neubuch, [SC: 0.0], [PU: Springer Berlin Heidelberg], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY; STOCHASTICVOLATILITY; CALCULUS; MODELING, Druck auf Anfrage Neuware - In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. 140 pp. Englisch, Books<
In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. … Mehr…
In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. Books > Economics Soft cover, Springer Shop<
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(*) Derzeit vergriffen bedeutet, dass dieser Titel momentan auf keiner der angeschlossenen Plattform verfügbar ist.
Paperback, [PU: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG], In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and application… Mehr…
Paperback, [PU: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG], In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model., Microeconomics, Microeconomics<
[EAN: 9783540208174], Neubuch, [PU: Springer Berlin Heidelberg], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY; STOCHASTICVOLATILITY; CALCULUS; MODELING; QUANTITATIVEFINANCE, Druck auf Anfrage Neuware - Printed after ordering - In this book, the authorsinvestigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. 140 pp. Englisch, Books<
[EAN: 9783540208174], Neubuch, [PU: Springer Berlin Heidelberg Jan 2004], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY… Mehr…
[EAN: 9783540208174], Neubuch, [PU: Springer Berlin Heidelberg Jan 2004], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY; STOCHASTICVOLATILITY; CALCULUS; MODELING; QUANTITATIVEFINANCE, This item is printed on demand - it takes 3-4 days longer - Neuware -In this book, the authorsinvestigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. 140 pp. Englisch, Books<
NEW BOOK. Versandkosten:Versandkostenfrei. (EUR 0.00) BuchWeltWeit Inh. Ludwig Meier e.K., Bergisch Gladbach, Germany [57449362] [Rating: 5 (von 5)]
[EAN: 9783540208174], Neubuch, [SC: 0.0], [PU: Springer Berlin Heidelberg], FINANZMATHEMATIK; MATHEMATIK / ARBITRAGE; INCOMPLETEMARKETS; MARTINGALEPRICING; POWEROPTIONS; STOCHASTICLIQUIDITY; STOCHASTICVOLATILITY; CALCULUS; MODELING, Druck auf Anfrage Neuware - In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. 140 pp. Englisch, Books<
In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. … Mehr…
In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor. Books > Economics Soft cover, Springer Shop<
new in stock. Versandkosten:zzgl. Versandkosten. (EUR 0.00)
Paperback, [PU: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG], In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and application… Mehr…
Paperback, [PU: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG], In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model., Microeconomics, Microeconomics<
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In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor.
Detailangaben zum Buch - Pricing in (In)complete Markets: Structural Analysis and Applications
EAN (ISBN-13): 9783540208174 ISBN (ISBN-10): 3540208178 Gebundene Ausgabe Taschenbuch Erscheinungsjahr: 2004 Herausgeber: Springer 122 Seiten Gewicht: 0,223 kg Sprache: eng/Englisch
Buch in der Datenbank seit 2007-05-20T04:32:48+02:00 (Zurich) Detailseite zuletzt geändert am 2023-10-05T08:35:09+02:00 (Zurich) ISBN/EAN: 3540208178
ISBN - alternative Schreibweisen: 3-540-20817-8, 978-3-540-20817-4 Alternative Schreibweisen und verwandte Suchbegriffe: Autor des Buches: esser, angelika eßer Titel des Buches: pricing, mathematical analysis economics, lecture notes economics, structural analysis
Daten vom Verlag:
Autor/in: Angelika Esser Titel: Lecture Notes in Economics and Mathematical Systems; Pricing in (In)Complete Markets - Structural Analysis and Applications Verlag: Springer; Springer Berlin 122 Seiten Erscheinungsjahr: 2004-01-23 Berlin; Heidelberg; DE Sprache: Englisch 53,49 € (DE) 54,99 € (AT) 59,00 CHF (CH) Available XI, 122 p. 2 illus.
BC; Hardcover, Softcover / Wirtschaft/Volkswirtschaft; Mikroökonomie; Verstehen; Wirtschaft; Arbitrage; Incomplete Markets; Martingale Pricing; Power Options; Stochastic Liquidity; Stochastic Volatility; calculus; modeling; quantitative finance; Microeconomics; Mathematics in Business, Economics and Finance; Probability Theory; Financial Economics; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Finanzenwesen und Finanzindustrie; EA
1 Motivation and Overview.- 2 Pricing by Change of Measure and Numeraire.- 2.1 Introduction.- 2.2 Model Setup.- 2.3 Equivalent Measures.- 2.4 Derivation of a General Pricing Equation.- 2.5 Is Every Equivalent Measure a Martingale Measure?.- 2.6 Conclusion.- 3 Comparison of Discrete and Continuous Models.- 3.1 Introduction.- 3.2 Dynamics of the Underlying Processes.- 3.3 Model-Specific Change of Measure.- 3.4 Normalized Price Processes.- 3.5 Examples.- 3.6 Conclusion.- 4 Valuation of Power Options.- 4.1 Introduction.- 4.2 General Pricing Equation.- 4.3 Examples.- 4.4 Conclusion.- 5 Modeling Feedback Effects Using Stochastic Liquidity.- 5.1 Introduction.- 5.2 The Liquidity Framework.- 5.3 Examples.- 5.4 Conclusion.- 6 Summary and Outlook.- A Power Options in Stochastic Volatility Models.- A.1 Calculations of the Characteristic Functions.- A.2 Ornstein-Uhlenbeck Process for Volatility.- References.- Abbreviations.- List of Symbols.- List of Figures.- List of Tables.
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