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...
| Основен автор: | Ng, Siu-Ah. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
River Edge, N.J. :
World Scientific,
℗♭2003.
|
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=134085 |
| Подобни документи: |
Print version::
Hypermodels in mathematical finance. |
Съдържание:
- 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 BundleFiles.pl cdf2marc-006.seel cdf2marc-007.seel cdf2marc-008.seel cdf2marc-leader.seel cdf2marc.seel CDF2Onix.bash cir_marc.seel cleanFiles.bash cleanlogs cleannotifylogs cleanupReports.bash codelist7.seel contntdmarchivein contributor.seel contributor_table.seel copystep countmarcrecs countrecords createaccount createReports.bash crosswalk crosswalkonix2cdf crosswalk_v1_0.wsdl curlUpload.pl dcg_marc.seel dc_marc.seel dcterms_marc.seel deapfunctions deapfunctions.template dir.properties dir.properties.template dos2unix dublincore_marc_all.seel eContent.bash eContentB.bash econtenthtmlfooter econtenthtmlheader econtentinprint econtentprint econtentprintmonthlyreport econtentprint.template edifactsweep eserials eSerials.bash eserialshtmlfooter eserialshtmlheader eserialsin eserialsmonthlyreport eSweep.bash esweep-service-startup finddups formatweblog ftpVendorLabels.pl gem_marc.seel GenericXml.class GenericXml$_main_closure1.class getbridbase getbridbase.template geteserialsharvests getformat getorderid getorderid.template google_marc.seel handofforder hostwatcher hostwatcherhtmlfooter hostwatcherhtmlheader IG_35AcqOrderImportTestRequest.xml inotify jms.properties jms.properties.template listaccounts log4j.properties logsplitter makeFiles.bash marc2cdf-006.seel marc2cdf-007.seel marc2cdf-008.seel marc2cdf-leader.seel marc2cdf.seel marc2Mods-abstract.seel marc2Mods-accessCondition.seel marc2Mods-classification.seel marc2Mods-extension.seel marc2Mods-genre-books.seel marc2Mods-genre-computerfiles.seel marc2Mods-genre-maps.seel marc2Mods-genre-music.seel marc2Mods-genre.seel marc2Mods-genre-serials.seel marc2Mods-genre-visualmaterials.seel marc2Mods-identifier.seel marc2Mods-language.seel marc2Mods-location.seel marc2Mods-name.seel marc2Mods-note.seel marc2Mods-originInfo.seel marc2Mods-physicalDescription.seel marc2Mods-recordInfo.seel marc2Mods-relatedItem.seel marc2Mods.seel marc2Mods-subject.seel marc2Mods-tableOfContents.seel marc2Mods-targetAudience.seel marc2Mods-titleInfo.seel marc2Mods-typeOfResource.seel marcchunker marc_dcsimple_loose.seel marc_dcsimple_oclc.seel marc_dcsimple.seel marc_dcterms_loose.seel marc_dcterms_oclc.seel marc_dcterms.seel marc_oclcadmin.seel marc_onixbook_Audience.seel marc_onixbook_Conference.seel marc_onixbook_Contributor.seel marc_onixbook_Description.seel marc_onixbook_Edition.seel marc_onixbook_Extent.seel marc_onixbook_Header.seel marc_onixbook_Language.seel marc_onixbook_Measure.seel marc_onixbook_OtherText.seel marc_onixbook_Prize.seel marc_onixbook_ProductContentType.seel marc_onixbook_ProductForm.seel marc_onixbook_ProductIdentifier.seel marc_onixbook_Publisher.seel marc_onixbook_RelatedProduct.seel marc_onixbook.seel marc_onixbook_Series.seel marc_onixbook_Subject.seel marc_onixbook_Title.seel MarcXml2MarcIso.bash MergeOnixDelimitedFiles.groovy mods2Marc-001-006.seel mods2Marc-007.seel mods2Marc-008.seel mods2Marc-01x-04x.seel mods2Marc-05x-08x.seel mods2Marc-1xx.seel mods2Marc-20x-24x.seel mods2Marc-2xx.seel mods2Marc-3xx.seel mods2Marc-5xx.seel mods2Marc-6xx.seel mods2Marc-7xx.seel mods2Marc-8xx.seel mods2Marc-genre-books.seel mods2Marc-genre-computerfiles.seel mods2Marc-genre-maps.seel mods2Marc-genre-music.seel mods2Marc-genre.seel mods2Marc-genre-serials.seel mods2Marc-genre-visualmaterials.seel mods2Marc-leader.seel mods2Marc.seel ncip_marc-acceptitem.seel ncip_marc.seel netreadonixonixdiffin netreadonixonixdiffin.template netreadonixonixdiffout netreadonixonixdiffout.template netreadonixonixmergein netreadonixonixmergein.template netreadonixonixmergeout netreadonixonixmergeout.template netreadonixtemplatefullin netreadonixtemplatefullin.template netreadonixtemplatefullout netreadonixtemplatefullout.template netreadonixtemplatemergein netreadonixtemplatemergein.template netreadonixtemplatemergeout netreadonixtemplatemergeout.template netreadtemplateonixdiffin netreadtemplateonixdiffin.template netreadtemplateonixdiffout netreadtemplateonixdiffout.template netreadtemplateonixfullin netreadtemplateonixfullin.template netreadtemplateonixfullout netreadtemplateonixfullout.template nextgen nextgenbacklist nextgenbacklistin nextgenbacklistin.template nextgenbalance nextgenfrontlistin nextgenfrontlistin-noRE nextgenfrontlistin-noRE.template nextgenfrontlistin.template nextgenfrontlistout nextgenfrontlistout.template nextgeninfrontlist nextgeninfrontlisthtmlfooter nextgeninfrontlisthtmlheader nextgeninfrontlistmonthlyreport nextgenout nextgenpostprocreport nextgenpostprocreport.template nextgen.template notify notifytemplate notify.template notifytemplate.template OAIPMH2Marc.bash oaipmh_marc.seel oaister oaister.template oclcterms_marc.seel oldbridwraponix Onix2CDF.bash onix2marc.seel onix4amazon.seel onixbook_marc_001_006.seel onixbook_marc_007.seel onixbook_marc_008.seel onixbook_marc_01x_04x.seel onixbook_marc_05x_08x.seel onixbook_marc_05x_09x.seel onixbook_marc_1xx.seel onixbook_marc_20x_24x.seel onixbook_marc_26x.seel onixbook_marc_2xx.seel onixbook_marc_3xx.seel onixbook_marc_4xx.seel onixbook_marc_5xx.seel onixbook_marc_650.seel onixbook_marc_6xx_1.seel onixbook_marc_6xx_2.seel onixbook_marc_6xx.seel onixbook_marc_7xx.seel onixbook_marc_887.seel onixbook_marc_8xx.seel onixbook_marc_9xx.seel onixbook_marc_extended.seel onixbook_marc_leader.seel onixbook_marc.seel onix_composition_template.xml onix_decomp_template.xml onix-long4amazon.seel ONIXOrderer-1.3-standalone.jar OnixSerials2Marc.seel pass2econtent productContentType_table.seel productForm_table.seel 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.