The Interval Market Model in Mathematical Finance (notice n° 34935)
| 000 -LEADER | |
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| fixed length control field | 05357nam a22006495i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-0-8176-8388-7 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20211202151513.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 121213s2013 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780817683887 |
| -- | 978-0-8176-8388-7 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-0-8176-8388-7 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB144 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA269-272 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBUD |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT011000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS069030 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Bernhard, Pierre. |
| Relator term | author. |
| 9 (RLIN) | 76237 |
| 245 14 - TITLE STATEMENT | |
| Title | The Interval Market Model in Mathematical Finance |
| Medium | [electronic resource] : |
| Remainder of title | Game-Theoretic Methods / |
| Statement of responsibility, etc | by Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin. |
| 264 #1 - | |
| -- | New York, NY : |
| -- | Springer New York : |
| -- | Imprint: Birkhäuser, |
| -- | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XVI, 348 p. |
| Other physical details | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Static & Dynamic Game Theory: Foundations & Applications |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Preface -- Part I Revisiting Two Classic Results in Dynamic Portfolio Management -- Merton’s Optimal Dynamic Portfolio Revisited -- Option Pricing: Classic Results -- Introduction -- Part II Hedging in Interval Models -- Fair Price Intervals -- Optimal Hedging Under Robust-Cost Constraints -- Appendix: Proofs -- Continuous and Discrete-Time Option Pricing and Interval Market Model -- Part III Robust-Control Approach to Option Pricing -- Vanilla Options -- Digital Options -- Validation -- Introduction -- Part IV Game-Theoretic Analysis of Rainbow Options in Incomplete Markets -- Emergence of Risk-Neutral Probabilities -- Rainbow Options in Discrete Time, I -- Rainbow Options in Discrete Time, II -- Continuous-Time Limits -- Credit Derivatives -- Computational Methods Based on the Guaranteed Capture Basin Algorithm -- Viability Approach to Complex Option Pricing and Portfolio Insurance -- Asset and Liability Insurance Management (ALIM) for Risk Eradication -- References -- Index. . |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approaches to complement or replace stochastic methods. Among the most fruitful models were those utilizing game-theoretic tools and the so-called interval market model. Over time, these models have slowly but steadily gained influence in the financial community, providing a useful alternative to classical methods. A self-contained monograph, The Interval Market Model in Mathematical Finance: Game-Theoretic Methods assembles some of the most important results, old and new, in this area of research. Written by seven of the most prominent pioneers of the interval market model and game-theoretic finance, the work provides a detailed account of several closely related modeling techniques for an array of problems in mathematical economics. The book is divided into five parts, which successively address topics including: · probability-free Black-Scholes theory; · fair-price interval of an option; · representation formulas and fast algorithms for option pricing; · rainbow options; · tychastic approach of mathematical finance based upon viability theory. This book provides a welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. It is a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also been written in a manner accessible to financially-inclined readers with a limited technical background. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 9 (RLIN) | 76238 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Applied mathematics. |
| 9 (RLIN) | 76239 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Engineering mathematics. |
| 9 (RLIN) | 76240 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Game theory. |
| 9 (RLIN) | 76241 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics, Mathematical. |
| 9 (RLIN) | 76242 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economic theory. |
| 9 (RLIN) | 76243 |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 9 (RLIN) | 76238 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Game Theory, Economics, Social and Behav. Sciences. |
| 9 (RLIN) | 76244 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Game Theory. |
| 9 (RLIN) | 76245 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| 9 (RLIN) | 76246 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economic Theory/Quantitative Economics/Mathematical Methods. |
| 9 (RLIN) | 76247 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Applications of Mathematics. |
| 9 (RLIN) | 76248 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Engwerda, Jacob C. |
| Relator term | author. |
| 9 (RLIN) | 76249 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Roorda, Berend. |
| Relator term | author. |
| 9 (RLIN) | 76250 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Schumacher, J.M. |
| Relator term | author. |
| 9 (RLIN) | 2086 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kolokoltsov, Vassili. |
| Relator term | author. |
| 9 (RLIN) | 76251 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Saint-Pierre, Patrick. |
| Relator term | author. |
| 9 (RLIN) | 12535 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Aubin, Jean-Pierre. |
| Relator term | author. |
| 9 (RLIN) | 16157 |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 9 (RLIN) | 25138 |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9780817683870 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Static & Dynamic Game Theory: Foundations & Applications |
| 9 (RLIN) | 76252 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://dx.doi.org/10.1007/978-0-8176-8388-7">http://dx.doi.org/10.1007/978-0-8176-8388-7</a> |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Ebook |
| 956 ## - LOCAL ELECTRONIC LOCATION AND ACCESS (OCLC) | |
| Electronic name | Springer |
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