Geman / Vorst / Pliska | Mathematical Finance - Bachelier Congress 2000 | Buch | sack.de

Geman / Vorst / Pliska Mathematical Finance - Bachelier Congress 2000



Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000

1. Auflage. Softcover version of original hardcover Auflage 2002, 521 Seiten, Kartoniert, Paperback, Format (B × H): 152 mm x 229 mm, Gewicht: 767 g Reihe: Springer Finance
ISBN: 978-3-642-08729-5
Verlag: Springer


Geman / Vorst / Pliska Mathematical Finance - Bachelier Congress 2000

The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions.

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Research

Weitere Infos & Material


From the contents:
Paul Samuelson: Modern Finance Theory within One Lifetime.- Robert C. Merton: Future Possibilities in Finance Theory and Finance Practice.- Henry P. McKean: Brownian Motion and the General Diffusion: Scale & Clock.- S.R.S. Varadhan: Rare Events, Large Deviations
Marco Avellaneda/Roberta Gamba: Conquering the Greeks in Monte Carlo: Efficient Calculation of the Market Sensitivities and Hedge-Ratios of Financial Assets by Direct Numerical Simulation.- Tomas Björk/Camilla Landén: On the Term Structure of Futures and Forward Prices.- Damiano Brigo/Fabio Mercurio: Displaced and Mixture Diffusions for Analytically-Tractable Smile Models .- Ales Cerny/Stewart Hodges: The Theory of Good-Deal Pricing in Financial Markets.- Michael A.H. Dempster/S.S.G. Hong: Spread Option Valuation and the Fast Fourier Transform.- Catherine Donati-Martin/Hiroyuki Matsumoto/Marc Yor: The Law of Geometric Brownian Motion and its Integral, revisited; Application to Conditional Moments.- Ernst Eberlein/Karsten Prause: The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures.- Paolo Guiotto/Andrea Roncoroni: Theory and Calibration of HJM with Shape Factors.- Robert J. Elliott/John Van der Hoek: Using the Hull and White Two Factor Model in Bank Treasury Risk Management.- Monique Jeanblanc/Marek Rutkowski: Default Risk and Hazard Process. - Jan Kallsen: Utility-Based Derivative Pricing in Incomplete Markets.- Franck Moraux/Patrick Navatte: Pricing Credit Derivatives in Credit Classes Frameworks.- J.L. Prigent/O. Renault/O. Scaillet: An Autoregressive Conditional Binomial Option Pricing Model. - L.C.G. Rogers/F.A. Yousaf: Markov Chains and the Potential Approach to Modelling Interest Rates and Exchange Rates.- Walter Schachermayer: Optimal Investment in Incomplete Financial Markets.- Eduardo Schwartz/Carlos Zozaya-Gorostiza: Evaluating Investments in Disruptive Technologies.- Albert Shiryaev: Quickest Detection Problems.- Murad S.Taqqu: Bachelier and his Times: A conversation with Bernard Bru


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