MARC details
| 000 -LEADER |
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| fixed length control field |
06463cam a2200745Ma 4500 |
| 001 - CONTROL NUMBER |
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ocn847727014 |
| 003 - CONTROL NUMBER IDENTIFIER |
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OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20220711202314.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION |
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m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
111102s2012 ja a ob 001 0 eng d |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
E7B |
| Language of cataloging |
eng |
| Description conventions |
pn |
| Transcribing agency |
E7B |
| Modifying agency |
OCLCO |
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N$T |
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OCLCF |
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OCLCO |
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EBLCP |
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YDXCP |
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IDEBK |
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OCLCO |
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OCLCQ |
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OCLCO |
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OCLCQ |
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AGLDB |
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OCLCQ |
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STF |
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LEAUB |
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JBG |
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OCLCQ |
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OCLCA |
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OCLCO |
| 019 ## - |
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818848247 |
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819633157 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9789814407892 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9814407895 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
1283739429 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781283739429 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Cancelled/invalid ISBN |
9789814407885 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000058199856 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
DEBBG |
| System control number |
BV042964155 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
DEBSZ |
| System control number |
423754092 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
GBVCP |
| System control number |
799464139 |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(OCoLC)847727014 |
| Canceled/invalid control number |
(OCoLC)818848247 |
| -- |
(OCoLC)819633157 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG106 |
| Item number |
.F56 2013eb |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS |
| Subject category code subdivision |
091000 |
| Source |
bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
KFF |
| Source |
bicssc |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
650.0151 |
| Edition number |
23 |
| 049 ## - LOCAL HOLDINGS (OCLC) |
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| Holding library |
MAIN |
| 245 00 - TITLE STATEMENT |
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| Title |
Finance at fields / |
| Statement of responsibility, etc |
editors, Matheus R. Grasselli, Lane P. Hughston. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Singapore : |
| Name of publisher, distributor, etc |
World Scientific Pub. Co. Inc., |
| Date of publication, distribution, etc |
2013. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource (xiii, 583 pages :) : |
| Other physical details |
illustrations |
| 336 ## - |
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text |
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txt |
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rdacontent |
| 337 ## - |
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computer |
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c |
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rdamedia |
| 338 ## - |
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online resource |
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cr |
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rdacarrier |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Preface: Reflections on the Crisis and a Glimpse at the Future of Mathematical Finance Matheus R. Grasselli and Lane P. Hughston; CONTENTS; 1. Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes Jiro Akahori and Andrea Macrina; 1. Introduction; 2. Heat Kernels for Supermartingales; 3. Pricing with Time-Inhomogeneous Markov Information; 4. Explicit Pricing Kernel Models; 5. Fixed-Income Derivatives with Brownian Bridge Information; Acknowledgments; References; 2. Stress Testing the Resilience of Financial Networks Hamed Amini, Rama Cont and Andreea Minca; 1. Introduction. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
2. Network Models of Banking Systems2.1. Asymptotic analysis of default cascades in large networks; 2.2. Size of default cascade; 3. Stress Testing; 3.1. Stress testing resilience to macroeconomic shocks; 3.2. An example of infinite network; 3.3. A finite scale-free network; 4. Discussion; Acknowledgments; References; 3. Managing Corporate Liquidity: Strategies and Pricing Implications Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan; 1. Introduction; 1.1. Overview of major results; 1.2. Review of the literature; 2. The Model; 2.1. Basic setup; 2.2. Equity dilution; 2.3. Cash balance. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
2.4. Loan commitment3. Welfare and Pricing Under Costly Equity Dilution; 3.1. Exogenous bankruptcy boundary; 3.1.1. Equity value; 3.1.2. Debt value; 3.2. Endogenous bankruptcy boundary; 3.3. Impacts of costly equity dilution; 3.3.1. Security values; 3.3.2. Debt capacity and optimal capital structure; 4. Cash Balances to Manage Illiquidity; 4.1. Optimal level of cash; 4.2. Impacts of cash balance; 5. Loan Commitment; 5.1. Optimal draw down and repayment decisions; 5.2. Impacts of loan commitment; 6. Conclusion; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E; Appendix F. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
AcknowledgmentReferences; 4. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model T.R. Bielecki, S. Crepey, M. Jeanblanc and B. Zargari; 1. Introduction; 1.1. Outline of the paper; 2. Cash Flows and Pricing in a General Set-Up; 3. Model; 4. Pricing; 5. Hedging of Counterparty Exposure; 5.1. Dynamics of cumulative CVA; 5.1.1. Markovian case; 5.2. Hedging of CVA; 5.2.1. Rolling CDS; 5.2.2. Mean-variance hedging; 6. Model Implementation; 6.1. Marginals; 6.2. Joint defaults; 6.3. Calibration; 7. A Variant of the Model with Extended CIR Intensities; 7.1. Implementation. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
8. Numerical Results8.1. Calibration to market data; 8.2. CVA stylized features; 8.3. Case of a low-risk reference entity; 8.4. Spread options implied volatilities; 8.5. The analysis of the contribution of the joint default; 9. Conclusions; Appendix A; Acknowledgments; References; 5. Information-Based Asset Pricing Dorje C. Brody, Lane P. Hughston and Andrea Macrina; 1. Introduction; 2. The Modelling Framework; 3. Modelling the Cash Flows; 4. Modelling the Information Flow; 5. Asset Price Dynamics in the Case of a Single Cash Flow; 6. European-Style Call Options. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management. |
| 590 ## - LOCAL NOTE (RLIN) |
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| Local note |
eBooks on EBSCOhost |
| Provenance (VM) [OBSOLETE] |
EBSCO eBook Subscription Academic Collection - Worldwide |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Options (Finance) |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
171973 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Options (Finance) |
| General subdivision |
Prices |
| -- |
Mathematical models. |
| 9 (RLIN) |
237500 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finances |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
865581 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Options (Finances) |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
920353 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Options (Finances) |
| General subdivision |
Prix |
| -- |
Modèles mathématiques. |
| 9 (RLIN) |
902841 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
BUSINESS & ECONOMICS |
| General subdivision |
Business Mathematics. |
| Source of heading or term |
bisacsh |
| 9 (RLIN) |
951964 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Mathematical models. |
| Source of heading or term |
fast |
| -- |
(OCoLC)fst00924398 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Options (Finance) |
| General subdivision |
Mathematical models. |
| Source of heading or term |
fast |
| -- |
(OCoLC)fst01046899 |
| 9 (RLIN) |
171973 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Options (Finance) |
| General subdivision |
Prices |
| -- |
Mathematical models. |
| Source of heading or term |
fast |
| -- |
(OCoLC)fst01046902 |
| 9 (RLIN) |
237500 |
| 655 #0 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic books. |
| 655 #4 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Grasselli, Matheus. |
| 9 (RLIN) |
951965 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hughston, L. P., |
| Dates associated with a name |
1951- |
| 9 (RLIN) |
951966 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Display text |
Print version: |
| Main entry heading |
Grasselli, Matheus R. |
| Title |
FINANCE AT FIELDS. |
| Place, publisher, and date of publication |
Singapore : World Scientific, ©2012 |
| International Standard Book Number |
9789814407885 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=503416">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=503416</a> |
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ProQuest Ebook Central |
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EBLB |
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EBL1069831 |
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ebrary |
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EBRY |
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ebr10622807 |
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EBSCOhost |
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EBSC |
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503416 |
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ProQuest MyiLibrary Digital eBook Collection |
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IDEB |
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405192 |
| 938 ## - |
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YBP Library Services |
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YANK |
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9598585 |
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92 |
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INOPJ |
