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  • 1
    Monograph available for loan
    Monograph available for loan
    Methods of mathematical finance (1999)
    Berlin [u.a.] : Springer
    Associated volumes
    Details Availability
    Call number: PIK M 370-05-0120
    In: Applications of mathematics
    Type of Medium: Monograph available for loan
    Pages: XV, 407 S , graph. Darst , Beibl
    Edition: Corr. 2. print
    ISBN: 0387948392
    Series Statement: Applications of mathematics 39
    Location: A 18 - must be ordered
    Branch Library: PIK Library
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  • 2
    Electronic Resource
    Electronic Resource
    A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 14 (2004), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A framework is provided for pricing derivatives on defaultable bonds and other credit-risky contingent claims. The framework is in the spirit of reduced-form models, but extends these models to include the case that default can occur only at specific times, such as coupon payment dates. Although the framework does not provide an efficient setting for obtaining results about structural models, it is sufficiently general to include most structural models, and thereby highlights the commonality between reduced-form and structural models. Within the general framework, multiple recovery conventions for contingent claims are considered: recovery of a fraction of par, recovery of a fraction of a no-default version of the same claim, and recovery of a fraction of the pre-default value of the claim. A stochastic-integral representation for credit-risky contingent claims is provided, and the integrand for the credit exposure part of this representation is identified. In the case of intensity-based, reduced-form models, credit spread and credit-risky term structure are studied.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.t01-1-00193.x
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  • 3
    Electronic Resource
    Electronic Resource
    Robustness of the Black and Scholes Formula (1998)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 8 (1998), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Consider an option on a stock whose volatility is unknown and stochastic. An agent assumes this volatility to be a specific function of time and the stock price, knowing that this assumption may result in a misspecification of the volatility. However, if the misspecified volatility dominates the true volatility, then the misspecified price of the option dominates its true price. Moreover, the option hedging strategy computed under the assumption of the misspecified volatility provides an almost sure one-sided hedge for the option under the true volatility. Analogous results hold if the true volatility dominates the misspecified volatility. These comparisons can fail, however, if the misspecified volatility is not assumed to be a function of time and the stock price. The positive results, which apply to both European and American options, are used to obtain a bound and hedge for Asian options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00047
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  • 4
    Electronic Resource
    Electronic Resource
    Equilibrium Models With Singular Asset Prices (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: General equilibrium models in which economic agents have finite marginal utility from consumption at the origin lead to financial assets having continuous prices with singular components. In particular, there is no bona fide “interest rate” in such models, although asset prices can be determined by equilibrium considerations (and uniquely, up to the formation of mutual funds). the singularly continuous processes in question charge precisely the set of time points at which some agent “drops out” of the economy, or “comes back” into it, between intervals of zero consumption. Not surprisingly, these processes are governed by local time.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00013.x
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  • 5
    Electronic Resource
    Electronic Resource
    Options on a traded account: Vacation calls, vacation puts and passport options (2000)
    Springer
    Finance and stochastics 4 (2000), S. 255-274 
    Details
    ISSN: 1432-1122
    Keywords: Key words:Passport options, Vacation options, Stochastic control, Hamilton–Jacobi–Bellman equation, Comparison theorem, Put-call parity, Hedging ; JEL Classification:G13 ; Mathematics Subject Classification (1991):90A09, 60H30, 60G44
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. In this article we study options on a traded account. In terms of the actions available to the buyer, the options we study are more general than a class of options known as {\em passport options}; in terms of the model of the underlying asset they are more restrictive. Using probabilistic techniques, we find the value of these options, the optimal strategy of the buyer, and the hedging strategy the seller should use in response to a (not necessarily optimal) strategy by the buyer.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s007800050073
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  • 6
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    Existence of optimal stationary policies in deterministic optimal control (1979)
    Elsevier
    Details
    Publication Date: 1979-06-01
    Print ISSN: 0022-247X
    Electronic ISSN: 1096-0813
    Topics: Mathematics
    Published by Elsevier
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