Financial Mathematics

DOI10.1007/978-88-470-2538-7MaRDI QIDQ3114204zbMATH OpenOpenAlexFDO

Authors Wolfgang J. Runggaldier, Andrea Pascucci

Publication date 1 February 2012

Published in Unitext (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-88-470-2538-7

zbMATH Keywords

affine interest rate modelAmerican optionbinomial modelcapconsumptiondiscrete time multi-period modelEuropean optionfloorforward rate modelhedgingHull-White modelmarket completenessno-arbitrage pricingself-financing investment strategyshort rate modelswapswaptiontrinomial modelutility

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(8)

• On the practical point of view of option pricing
• Portfolio theory, risk management and the evaluation of derivatives
• Market viability and martingale measures under partial information
• Discrete models of financial markets.
• Finanza Matematica
• On optimal partial hedging in discrete markets
• The insider trading problem in a jump-binomial model
• Market consistent bid-ask option pricing under Dempster-Shafer uncertainty

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