Arbitrage, credit and informational risks /

Bibliographic Details
Corporate Author:	ebrary, Inc
Other Authors:	Hillairet, Caroline (Editor), Jeanblanc-Picqué, Monique, 1947- (Editor), Jiao, Ying (Editor)
Format:	eBook
Language:	English
Published:	Singapore ; New Jersey : World Scientific, [2014]
Series:	Peking University series in mathematics ; v.5.
Subjects:	Arbitrage > Mathematical models. Credit > Management. Options (Finance) > Prices. Stochastic analysis. Electronic books.
Online Access:	Connect to the full text of this electronic book

Table of Contents:

Preface
Arbitrage
No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana
A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier
On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier
Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
Credit risk
Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu
Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey
Dynamic one-default model / Shiqi Song
Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti
Control problem and information risks
Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski
A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac
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, Monique Pontier.