Articles liés à Advances in Futures and Options Research, 1999 (10)

Advances in Futures and Options Research, 1999 (10) - Couverture rigide

Boyle, Phelim P.; Pennacchi, George; Ritchken, Peter

 
9780762303267: Advances in Futures and Options Research, 1999 (10)
Couverture rigide
ISBN 10 : 0762303263 ISBN 13 : 9780762303267
Editeur : JAI Press Inc., 1999

Synopsis

Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field. Contents: Editorial statement. Abstracts. Discrete Parisian and delayed barrier options: a general numerical approach (K.R. Vetzal, P.S. Forsyth). The pricing of double barrier options and their variations (A. Li). Numeraire invariance, change of measure, and pricing by arbitrage in continuous time financial models (P.L. Jorgensen, J. Raaballe). Introducing a twist into finite state Heath-Jarrow-Morton term structure modeling (D. Xu). Wiener chaos and hermite polynomials expansions for pricing and hedging contingent claims (E. Barucci, M. Elvira Mancino). Valuing insurance for defined-benefit pension plans (C.M. Lewis, G.G. Pennacchi). Strategic decisions in ocean shipping with contingent claims (F. de O. Goncalves). Optimal conversion terms for a subordinated zero-coupon convertible bond (S.S.A. Low, J. Muthuswamy and E. Terry). The economic significance of the forecast bias of S&P 100 index option implied volatility (J. Fleming). Futures hedging and stochastic volatility (Da-Hsiang Donald Lien).

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de la quatrième de couverture

Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field. Contents: Editorial statement. Abstracts. Discrete Parisian and delayed barrier options: a general numerical approach (K.R. Vetzal, P.S. Forsyth). The pricing of double barrier options and their variations (A. Li). Numeraire invariance, change of measure, and pricing by arbitrage in continuous time financial models (P.L. Jorgensen, J. Raaballe). Introducing a twist into finite state Heath-Jarrow-Morton term structure modeling (D. Xu). Wiener chaos and hermite polynomials expansions for pricing and hedging contingent claims (E. Barucci, M. Elvira Mancino). Valuing insurance for defined-benefit pension plans (C.M. Lewis, G.G. Pennacchi). Strategic decisions in ocean shipping with contingent claims (F. de O. Goncalves). Optimal conversion terms for a subordinated zero-coupon convertible bond (S.S.A. Low, J. Muthuswamy and E. Terry). The economic significance of the forecast bias of S&P 100 index option implied volatility (J. Fleming). Futures hedging and stochastic volatility (Da-Hsiang Donald Lien).

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
JAI Press Inc.
Date d'édition
1999
Langue
anglais
ISBN 10 
0762303263
ISBN 13 
9780762303267
Reliure
Relié
Nombre de pages
280
Coordonnées du fabricant
non disponible
Personne responsable
GPSR Kontakt
gpsr@libri.de

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