Arbitrage, credit and informational risks
By: editors Caroline Hillairet(Ecole Polytechnique, France), Monique Jeanblanc(Universite d'Evry, France), Ying Jiao (Universite Lyon I, France)
Series: Peking university series in mathematics -- v. 6
Publisher: World Scientific
Published: 2014
Place of publication: New Jersey
Language: eng
Number of pages: 262
ISBN-13: 9789814602068
Subjects: Arbitrage; Mathematical models; Credit; Management; Options (Finance); Prices; Stochastic analysis
Notes: Includes bibliographical references and index.
Table of contents: title: Preface; title: Arbitrage; title: No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana; title: A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier; title: On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier; title: Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc; title: Credit risk; title: Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu; title: Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey; title: Dynamic one-default model / Shiqi Song; title: Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti; title: Control problem and information risks; title: Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski; title: A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac; title: A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet; title: Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier.