Abstract Credit risk is the distribution of nancial losses due to unexpected changes in the credit quality of a counterparty in a nancial agreement. We review the structural, reduced form and incomplete information approaches to estimating...
ABSTRACT Often, researchers wish to analyze nonlinear dynamic discrete-time stochastic models. This paper provides a toolkit for solving such models easily, building on log-linearizing the necessary equations characterizing the equilibrium...
目 录 导言：金融、金融学、微观金融学和金融数学 第一部分 微观金融学 第1 章 投资者行为I：资产选择 第2 章 投资者行为II：最优消费和投资 第3 章 金融市场：结构、均衡和价格. 第4 章 衍生产品：价格和作用 第5 章 金融中介：功能和进化 第6 章 融资者行...
CHAPTER 1 The Volatility Problem 1 Introduction 1 The Stock Market 2 The Stock Price Process 2 Historic Volatility 3 The Derivatives Market 4 The Black-Scholes Approach 5 The Cox-Ross-Rubinstein Approach 6 Jump Diffusion and Level-Dependen...
Abstract The purpose of this chapter is to give an overview of some recent aspects of interest rate theory. After having recapitulated some basic results, we discuss forward rate models in the HeathJarrowMorton framework. We then go on to...
Mathematical Finance--Theory, Modeling and Implementation Book Description This book concentrates on the theory of mathematical finance and the pricing of derivatives around the theory. The topics are presented from their mathematical foun...
Abstract. The main purpose of the paper is to provide a mathematical background for the theory of bond markets similar to that available for stock markets.We suggest two constructions of stochastic integrals with respect to processes takin...
Abstract. We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward...
Abstract. We consider interest rate models where the forward rates are allowed to be driven by a multidimensional Wiener process as well as by a marked point process. Assuming a deterministic volatility structure, and using ideas from syst...
Abstract. In some recent papers (Elliott and van der Hoek 2003; Hu and ksendal2003) a fractional Black-Scholes model has been proposed as an improvement of the classical Black-Scholes model (see also Benth 2003; Biagini et al. 2002; Biagin...
