Financial Mathematics
DOI10.1007/978-88-470-2538-7zbMath1247.91001OpenAlexW4212873240MaRDI QIDQ3114204
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
utilitycaphedgingconsumptionmarket completenessAmerican optionEuropean optionbinomial modelfloorswapHull-White modeltrinomial modelno-arbitrage pricingforward rate modelswaptionshort rate modelaffine interest rate modeldiscrete time multi-period modelself-financing investment strategy
Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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