000			04999nam a22005655i 4500
001			978-0-8176-8388-7
003			DE-He213
005			20251006084441.0
007			cr nn 008mamaa
008			121213s2013 xxu| s |||| 0|eng d
020			_a9780817683887
020			_a99780817683887
024	7		_a10.1007/978-0-8176-8388-7 _2doi
082	0	4	_a519 _223
100	1		_aBernhard, Pierre. _eauthor.
245	1	4	_aThe Interval Market Model in Mathematical Finance _h[electronic resource] : _bGame-Theoretic Methods / _cby Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin.
264		1	_aNew York, NY : _bSpringer New York : _bImprint: Birkhäuser, _c2013.
300			_aXVI, 346 p. 64 illus. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aStatic & Dynamic Game Theory: Foundations & Applications
505	0		_aPreface -- 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			_aToward 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	_aMATHEMATICS.
650		0	_aFINANCE.
650		0	_aECONOMICS.
650		0	_aECONOMICS, MATHEMATICAL.
650	1	4	_aMATHEMATICS.
650	2	4	_aGAME THEORY, ECONOMICS, SOCIAL AND BEHAV. SCIENCES.
650	2	4	_aGAME THEORY/MATHEMATICAL METHODS.
650	2	4	_aQUANTITATIVE FINANCE.
650	2	4	_aECONOMIC THEORY.
650	2	4	_aAPPLICATIONS OF MATHEMATICS.
700	1		_aEngwerda, Jacob C. _eauthor.
700	1		_aRoorda, Berend. _eauthor.
700	1		_aSchumacher, J.M. _eauthor.
700	1		_aKolokoltsov, Vassili. _eauthor.
700	1		_aSaint-Pierre, Patrick. _eauthor.
700	1		_aAubin, Jean-Pierre. _eauthor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9780817683870
830		0	_aStatic & Dynamic Game Theory: Foundations & Applications
856	4	0	_uhttp://dx.doi.org/10.1007/978-0-8176-8388-7 _zVer el texto completo en las instalaciones del CICY
912			_aZDB-2-SMA
942			_2ddc _cER
999			_c59906 _d59906