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008			150903s2013 xxu| o |||| 0|eng d
020			_a9780817683887 _99780817683887
024	7		_a10.1007/9780817683887 _2doi
035			_avtls000333760
039		9	_a201509030218 _bVLOAD _c201404130528 _dVLOAD _c201404092318 _dVLOAD _y201402041119 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aHB144
100	1		_aBernhard, Pierre. _eautor _9306053
245	1	4	_aThe Interval Market Model in Mathematical Finance : _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 páginas 64 ilustraciones _brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aStatic & Dynamic Game Theory: Foundations & Applications
500			_aSpringer eBooks
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.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aEngwerda, Jacob C. _eautor _9307328
700	1		_aRoorda, Berend. _eautor _9307329
700	1		_aSchumacher, J.M. _eautor _9307330
700	1		_aKolokoltsov, Vassili. _eautor _9307331
700	1		_aSaint-Pierre, Patrick. _eautor _9307332
700	1		_aAubin, Jean-Pierre. _eautor _9305602
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9780817683870
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-0-8176-8388-7 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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999			_c281555 _d281555