ARBITRAGE, CREDIT AND INFORMATIONAL RISKS

by Ying Jiao (Editor), Caroline Hillairet (Editor), Monique Jeanblanc (Editor)

Overview

This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics.

Product Details

ISBN-13:	9789814602082
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	03/27/2014
Series:	PEKING UNIVERSITY SERIES IN MATHEMATICS , #5
Sold by:	Barnes & Noble
Format:	eBook
Pages:	276
File size:	17 MB
Note:	This product may take a few minutes to download.

Table of Contents

Arbitrage: No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana); A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier); On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier); Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk: Pricing Credit Derivatives with a Structural Default Model (Sé bastien Hitier and Ying Zhu); Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Sté phane Cré pey); Dynamic One-default Model (Shiqi Song); Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks: Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski); A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Ré veillac); A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet); Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier).