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|a 0821821237 (alk. paper)
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|a DLC
|c DLC
|d DLC
|d OCoLC
|d OrLoB-B
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|a eng
|h ger
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|b K667 2001
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|a 332.63/228
|2 21
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| 100 |
1 |
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|a Korn, Ralf.
|0 http://id.loc.gov/authorities/names/n97081474
|1 http://viaf.org/viaf/49908279
|
| 240 |
1 |
0 |
|a Optionsbewertung und Portfolio-Optimierung.
|l English
|
| 245 |
1 |
0 |
|a Option pricing and portfolio optimization :
|b modern methods of financial mathematics /
|c Ralf Korn, Elke Korn.
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| 260 |
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|a Providence, R.I. :
|b American Mathematical Society,
|c c2001.
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| 300 |
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|a xiv, 253 p. :
|b ill. ;
|c 27 cm.
|
| 336 |
|
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|a text
|b txt
|2 rdacontent
|0 http://id.loc.gov/vocabulary/contentTypes/txt
|
| 337 |
|
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|a unmediated
|b n
|2 rdamedia
|0 http://id.loc.gov/vocabulary/mediaTypes/n
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| 338 |
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|a volume
|b nc
|2 rdacarrier
|0 http://id.loc.gov/vocabulary/carriers/nc
|
| 440 |
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0 |
|a Graduate studies in mathematics
|v v. 31
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| 504 |
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|a Includes bibliographical references (p. 247-249) and index.
|
| 505 |
0 |
0 |
|t Frequently Used Notation --
|g Ch. 1.
|t The Mean-Variance Approach in a One-Period Model --
|g Ch. 2.
|t The Continuous-Time Market Model --
|g 2.1.
|t Modeling the Security Prices --
|g Excursion 1.
|t Brownian Motion and Martingales --
|g 2.1.
|t Continuation: Modeling the Security Prices --
|g Excursion 2.
|t The Ito Integral --
|g Excursion 3.
|t The Ito Formula --
|g 2.2.
|t Trading Strategy and Wealth Process --
|g 2.3.
|t Properties of the Continuous-Time Market Model --
|g Excursion 4.
|t The Martingale Representation Theorem --
|g Ch. 3.
|t Option Pricing --
|g 3.1.
|t Introduction --
|g 3.2.
|t Option Pricing via the Replication Principle --
|g Excursion 5.
|t Girsanov's Theorem --
|g 3.2.
|t Continuation: Option Pricing via the Replication Principle --
|g 3.3.
|t Option Pricing by the Partial Differential Approach --
|g Excursion 6.
|t The Feynman-Kac Representation --
|g 3.4.
|t Arbitrage Bounds for American anti European Options --
|g 3.5.
|t Pricing of American Options --
|g 3.6.
|t Arbitrage, Equivalent Martingale Measures and Option Pricing --
|g 3.7.
|t Market Numeraire and Numeraire Invariance --
|g Ch. 4.
|t Pricing of Exotic Options and Numerical Algorithms --
|g 4.1.
|t Exotic Options with Explicit Pricing Formulae --
|g Excursion 7.
|t Weak Convergence of Stochastic Processes --
|g 4.2.
|t Monte-Carlo Simulation --
|g 4.3.
|t Approximation via Binomial Trees --
|g 4.4.
|t Trinomial Trees and Explicit Finite-Difference Methods --
|g 4.5.
|t The Pathwise Binomial Approach to Rogers and Stapleton --
|g Ch. 5.
|t Optimal Portfolios --
|g 5.1.
|t Introduction and Formulation of the Problem --
|g 5.2.
|t The Martingale Method --
|g 5.3.
|t Optimal Option Portfolios --
|g Excursion 8.
|t Stochastic Control --
|g 5.4.
|t Portfolio Optimization via the Stochastic Control Method.
|
| 650 |
|
0 |
|a Options (Finance)
|x Prices
|x Mathematical models.
|0 http://id.loc.gov/authorities/subjects/sh2010104480
|
| 650 |
|
0 |
|a Portfolio management
|x Mathematical models.
|0 http://id.loc.gov/authorities/subjects/sh2008109870
|
| 650 |
|
7 |
|a Options (Finance)
|x Prices
|x Mathematical models.
|2 fast
|0 http://id.worldcat.org/fast/fst01046902
|
| 650 |
|
7 |
|a Portfolio management
|x Mathematical models.
|2 fast
|0 http://id.worldcat.org/fast/fst01072082
|
| 700 |
1 |
|
|a Korn, Elke,
|d 1962-
|0 http://id.loc.gov/authorities/names/n00107534
|1 http://viaf.org/viaf/43075274
|
| 901 |
|
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|a ToCBNA
|
| 903 |
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