000 04968nam a22004935i 4500
001 978-3-642-37113-4
003 DE-He213
005 20140220082907.0
007 cr nn 008mamaa
008 130608s2013 gw | s |||| 0|eng d
020 _a9783642371134
_9978-3-642-37113-4
024 7 _a10.1007/978-3-642-37113-4
_2doi
050 4 _aQA71-90
072 7 _aPDE
_2bicssc
072 7 _aCOM014000
_2bisacsh
072 7 _aMAT003000
_2bisacsh
082 0 4 _a004
_223
100 1 _aCrépey, Stéphane.
_eauthor.
245 1 0 _aFinancial Modeling
_h[electronic resource] :
_bA Backward Stochastic Differential Equations Perspective /
_cby Stéphane Crépey.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg :
_bImprint: Springer,
_c2013.
300 _aXIX, 459 p. 13 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Finance,
_x1616-0533
505 0 _aPart I: An Introductory Course in Stochastic Processes -- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes -- 3.Elements of Stochastic Analysis -- Part II: Pricing Equations -- 4.Martingale Modeling -- 5.Benchmark Models -- Part III: Numerical Solutions -- 6.Monte Carlo Methods -- 7.Tree Methods -- 8.Finite Differences -- 9.Callibration Methods -- Part IV: Applications -- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups -- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups -- Part V: Jump-Diffusion Setup with Regime Switching (**) -- 12.Backward Stochastic Differential Equations -- 13.Analytic Approach -- 14.Extensions -- Part VI: Appendix -- A.Technical Proofs (**) -- B.Exercises -- C.Corrected Problem Sets.
520 _aBackward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey’s  book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics.       Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance
650 0 _aMathematics.
650 0 _aDifferential equations, partial.
650 0 _aFinance.
650 0 _aComputer science.
650 1 4 _aMathematics.
650 2 4 _aComputational Science and Engineering.
650 2 4 _aQuantitative Finance.
650 2 4 _aPartial Differential Equations.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642371127
830 0 _aSpringer Finance,
_x1616-0533
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-37113-4
912 _aZDB-2-SMA
999 _c98030
_d98030