000			04832nam a22003735i 4500
001			307343
003			MX-SnUAN
005			20160429160123.0
007			cr nn 008mamaa
008			150903s2013 gw | o |||| 0|eng d
020			_a9783642371134 _99783642371134
024	7		_a10.1007/9783642371134 _2doi
035			_avtls000361200
039		9	_a201509030620 _bVLOAD _c201405070311 _dVLOAD _y201402210942 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aQA71-90
100	1		_aCrépey, Stéphane. _eautor _9338222
245	1	0	_aFinancial Modeling : _bA Backward Stochastic Differential Equations Perspective / _cby Stéphane Crépey.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2013.
300			_axIx, 459 páginas 13 ilustraciones en color. _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		_aSpringer Finance, _x1616-0533
500			_aSpringer eBooks
505	0		_aPart I: An Introductory Course in Stochastic Processes -- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes -- 3.Elements of Stochastic Analysis -- Part II: Pricing Equations -- 4.Martingale Modeling -- 5.Benchmark Models -- Part III: Numerical Solutions -- 6.Monte Carlo Methods -- 7.Tree Methods -- 8.Finite Differences -- 9.Callibration Methods -- Part IV: Applications -- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups -- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups -- Part V: Jump-Diffusion Setup with Regime Switching (**) -- 12.Backward Stochastic Differential Equations -- 13.Analytic Approach -- 14.Extensions -- Part VI: Appendix -- A.Technical Proofs (**) -- B.Exercises -- C.Corrected Problem Sets.
520			_aBackward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey’s  book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics.       Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783642371127
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-642-37113-4 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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