Pricing in (In)complete Markets : Structural Analysis and Applications (Lecture Notes in Economics and Mathematical Systems) Год выпуска: 2004Автор: Angelika EsserИздательство: Страниц: 0ISBN: 3540208178Описание Book DescriptionIn 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.
Похожие книги
Maryann P. Feldman, Albert N. Link, Association for Public Policy Analysis and Management. Innovation Policy in the Knowledge-Based Economy (Economics of Science, Technology, and Innovation, V. 23). – М.: , 0. – 0 с. William D. Stanley. Network Analysis with Applications (4th Edition). – М.: , 0. – 0 с. Roland Demmel. Fiscal Policy, Public Debt and the Term Structure of Interest Rates (Lecture Notes in Economics and Mathematical Systems, 476). – М.: , 0. – 0 с. International Symposium in Economic Theory and Econometrics 1996 univ, Carl Chiarella, Steve Keen, Robert Marks, Hermann Schnabl. Commerce, Complexity, and Evolution: Topics in Economics, Finance, Marketing, and Management : Proceedings of the Twelfth International Symposium in E ... Symposia in Economic Theory and Econometrics). – М.: , 0. – 0 с. Christian Buchta, Sara Dolnicar, Thomas Reutterer. A Nonparametric Approach to Perceptions-Based Market Segmentation: Applications (Interdisciplinary Studies in Economics and Management, Vol. 2). – М.: , 0. – 0 с. The Complex Dynamics of Economic Interaction : Essays in Economics and Econophysics (Lecture Notes in Economics and Mathematical Systems). – М.: , 2004. – 0 с. Moorad Choudhry. Capital Market Instruments : Analysis and Valuation (Finance and Capital Markets). – М.: , 2005. – 0 с. New Tools of Economic Dynamics (Lecture Notes in Economics and Mathematical Systems). – М.: , 2005. – 0 с. Reto Foellmi. Consumption Structure and Macroeconomics : Structural Change and the Relationship Between Inequality and Growth (Lecture Notes in Economics and Mathematical Systems). – М.: , 2005. – 0 с. Angelika Esser. Pricing in (In)complete Markets : Structural Analysis and Applications (Lecture Notes in Economics and Mathematical Systems). – М.: , 2004. – 0 с. Raik Stolletz. Performance Analysis and Optimization of Inbound Call Centers (Lecture Notes in Economics and Mathematical Systems). – М.: , 2003. – 0 с. Stehen M. Rowland. Structural Analysis and Synthesis. – М.: , 2006. – 320 с. Electrician''S Guide To Control And Monitoring Systems: Installation, Troubleshooting, And Maintenance. – М.: , 2011. – 208 с. Adeola Adegbayi. Structural Analysis and Design of Unique Shaped Structures. – М.: LAP Lambert Academic Publishing, 2011. – 116 с. Azeem Khan and Muhammad Zahid. Geological Mapping and Structural Analysis. – М.: LAP Lambert Academic Publishing, 2013. – 72 с. Bedilu Demissie,Hussien K. Hamda and Adem Kedir. Camel and Cow Milk Marketing Chain Analysis: The Case of Ethiopia. – М.: LAP Lambert Academic Publishing, 2014. – 116 с. Wessam El-Behaidy,Aliaa Youssif and Atef Ghalwash. Structural Analysis and Modeling of Proteins. – М.: LAP Lambert Academic Publishing, 2014. – 192 с. Образцы работ
Задайте свой вопрос по вашей теме
Контакты
Поделиться
Мы в социальных сетях
Реклама
Отзывы
Мария Здравствуйте! Вот хотела сообщить, что ЗАЩИТИЛАСЬ сегодня на 4! )) Чему очень рада) В Рецензии тоже 4 поставили) СПАСИБО БОЛЬШОЕ за своевременную помощь!!! Если что, буду направлять народ к Вам!) С огромными благодарностями, Мария.
