000 06463cam a2200745Ma 4500
001 ocn847727014
003 OCoLC
005 20220711202314.0
006 m o d
007 cr cn|||||||||
008 111102s2012 ja a ob 001 0 eng d
040 _aE7B
_beng
_epn
_cE7B
_dOCLCO
_dN$T
_dOCLCF
_dOCLCO
_dEBLCP
_dYDXCP
_dIDEBK
_dOCLCO
_dOCLCQ
_dOCLCO
_dOCLCQ
_dAGLDB
_dOCLCQ
_dSTF
_dLEAUB
_dJBG
_dOCLCQ
_dOCLCA
_dOCLCO
019 _a818848247
_a819633157
020 _a9789814407892
_q(electronic bk.)
020 _a9814407895
_q(electronic bk.)
020 _a1283739429
020 _a9781283739429
020 _z9789814407885
029 1 _aAU@
_b000058199856
029 1 _aDEBBG
_bBV042964155
029 1 _aDEBSZ
_b423754092
029 1 _aGBVCP
_b799464139
035 _a(OCoLC)847727014
_z(OCoLC)818848247
_z(OCoLC)819633157
050 4 _aHG106
_b.F56 2013eb
072 7 _aBUS
_x091000
_2bisacsh
072 7 _aKFF
_2bicssc
082 0 4 _a650.0151
_223
049 _aMAIN
245 0 0 _aFinance at fields /
_ceditors, Matheus R. Grasselli, Lane P. Hughston.
260 _aSingapore :
_bWorld Scientific Pub. Co. Inc.,
_c2013.
300 _a1 online resource (xiii, 583 pages :) :
_billustrations
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
504 _aIncludes bibliographical references and index.
505 0 _aPreface: 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 _a2. 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 _a2.4. 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 _aAcknowledgmentReferences; 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 _a8. 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 _aThis 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 _aeBooks on EBSCOhost
_bEBSCO eBook Subscription Academic Collection - Worldwide
650 0 _aFinance
_xMathematical models.
650 0 _aOptions (Finance)
_xMathematical models.
_9171973
650 0 _aOptions (Finance)
_xPrices
_xMathematical models.
_9237500
650 6 _aFinances
_xModèles mathématiques.
_9865581
650 6 _aOptions (Finances)
_xModèles mathématiques.
_9920353
650 6 _aOptions (Finances)
_xPrix
_xModèles mathématiques.
_9902841
650 7 _aBUSINESS & ECONOMICS
_xBusiness Mathematics.
_2bisacsh
_9951964
650 7 _aFinance
_xMathematical models.
_2fast
_0(OCoLC)fst00924398
650 7 _aOptions (Finance)
_xMathematical models.
_2fast
_0(OCoLC)fst01046899
_9171973
650 7 _aOptions (Finance)
_xPrices
_xMathematical models.
_2fast
_0(OCoLC)fst01046902
_9237500
655 0 _aElectronic books.
655 4 _aElectronic books.
700 1 _aGrasselli, Matheus.
_9951965
700 1 _aHughston, L. P.,
_d1951-
_9951966
776 0 8 _iPrint version:
_aGrasselli, Matheus R.
_tFINANCE AT FIELDS.
_dSingapore : World Scientific, ©2012
_z9789814407885
856 4 0 _uhttps://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=503416
938 _aProQuest Ebook Central
_bEBLB
_nEBL1069831
938 _aebrary
_bEBRY
_nebr10622807
938 _aEBSCOhost
_bEBSC
_n503416
938 _aProQuest MyiLibrary Digital eBook Collection
_bIDEB
_n405192
938 _aYBP Library Services
_bYANK
_n9598585
994 _a92
_bINOPJ
999 _c2754430
_d2754430