Arbitrage Credit and Informational Risks

Written By Caroline Hillairet
Arbitrage  Credit and Informational Risks
  • Publsiher : World Scientific
  • Release : 18 March 2014
  • ISBN : 9814602086
  • Pages : 276 pages
  • Rating : /5 from reviews
GET THIS BOOKArbitrage Credit and Informational Risks


Download or read book entitled Arbitrage Credit and Informational Risks by author: Caroline Hillairet which was release on 18 March 2014 and published by World Scientific with total page 276 pages . This book available in PDF, EPUB and Kindle Format. This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk:Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)Dynamic One-default Model (Shiqi Song)Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks:Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)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 and Monique Pontier) Readership: Advanced undergraduates, graduates and researchers in financial mathematics. Key Features:Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risksThe contributors consist of worldwide renowned experts and also promising young scientists in financial mathematicsAccessible to a larger public including graduate and advanced undergraduate studentsKeywords:Arbitrage;Credit Risk;Information Asymmetry Risks

Arbitrage Credit and Informational Risks

Arbitrage  Credit and Informational Risks
  • Author : Caroline Hillairet,Monique Jeanblanc,Ying Jiao
  • Publisher : World Scientific
  • Release Date : 2014-03-18
  • Total pages : 276
  • ISBN : 9814602086
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Summary : This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:...

Counterparty Risk and Funding

Counterparty Risk and Funding
  • Author : Stéphane Crépey,Tomasz R. Bielecki,Damiano Brigo
  • Publisher : CRC Press
  • Release Date : 2014-06-23
  • Total pages : 388
  • ISBN : 9814602086
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Summary : Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, ...

Markets and Organization

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  • Publisher : Springer
  • Release Date : 1998-01-28
  • Total pages : 696
  • ISBN : 9814602086
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Summary : Market economy has become today the predominant economic system in the world. One of the tasks of the book is to define analytically the essential features of a market economy. The other purpose is to investigate the very working of a market economy which rests on firms defined as organizations ...

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Journal of Investment Management
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2009
  • Total pages : 212
  • ISBN : 9814602086
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Summary : Read online Journal of Investment Management written by , published by which was released on 2009. Download full Journal of Investment Management Books now! Available in PDF, ePub and Kindle....

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Dissertation Abstracts International
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2007
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Summary : Read online Dissertation Abstracts International written by , published by which was released on 2007. Download full Dissertation Abstracts International Books now! Available in PDF, ePub and Kindle....

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Global Financial Stability Report  April 2006
  • Author : International Monetary Fund. Monetary and Capital Markets Department
  • Publisher : INTERNATIONAL MONETARY FUND
  • Release Date : 2006-04-17
  • Total pages : 204
  • ISBN : 9814602086
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Summary : This semi-annual publication from the IMF provides comprehensive coverage of mature and emerging financial markets and seeks to identify potential fault lines in the global financial system that could lead to crises. It is designed to deepen understanding of global capital flows, which play a critical role as an engine ...

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An Arbitrage Guide to Financial Markets
  • Author : Robert Dubil
  • Publisher : John Wiley & Sons Incorporated
  • Release Date : 2004-09-24
  • Total pages : 331
  • ISBN : 9814602086
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Summary : An Arbitrage Guide to Financial Markets is the first book to explicitly show the linkages of markets for equities, currencies, fixed income and commodities. Using a unique structural approach, it dissects all markets the same way: into spot, forward and contingent dimensions, bringing out the simplicity and the commonalities of ...

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  • Publisher : Oxford University Press, USA
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Summary : Suitable for undergraduate level, this is a market leading development textbook....

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  • Author : Mario Mansilla,Gustavo Adler,Torsten Wezel
  • Publisher : International Monetary Fund
  • Release Date : 2009-09
  • Total pages : 28
  • ISBN : 9814602086
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Summary : Traditional fiscal indicators focused on measures of current deficits and debt miss the potentially important implications of current policies for future public finances. This could be problematic, including in the case of Europe, where population aging is expected to pose additional fiscal costs not captured by such indicators. To better ...

Risk

Risk
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2007-07
  • Total pages : 212
  • ISBN : 9814602086
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Summary : Read online Risk written by , published by which was released on 2007-07. Download full Risk Books now! Available in PDF, ePub and Kindle....

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Europe s Monetary Future
  • Author : Stefan Collignon
  • Publisher : Burns & Oates
  • Release Date : 1994
  • Total pages : 238
  • ISBN : 9814602086
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Summary : A contribution to the European debate on the best way of achieving economic and monetary union, as agreed by the Maastricht Treaty. The text is based on research specially commissioned by the European Parliament. It presents policy options for the future of European monetary co-operation....

Exchange Risk and Exposure

Exchange Risk and Exposure
  • Author : Richard M. Levich,Clas Wihlborg
  • Publisher : Free Press
  • Release Date : 1980
  • Total pages : 208
  • ISBN : 9814602086
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Summary : Read online Exchange Risk and Exposure written by Richard M. Levich,Clas Wihlborg, published by Free Press which was released on 1980. Download full Exchange Risk and Exposure Books now! Available in PDF, ePub and Kindle....

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International Capital Markets
  • Author : International Monetary Fund
  • Publisher : INTERNATIONAL MONETARY FUND
  • Release Date : 2000-09-11
  • Total pages : 225
  • ISBN : 9814602086
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Summary : Following a review and assesment of recent developments in capital market and banking systems, this year's International Capital Markets report review and assesses recent developments in mature and emerging financial markets and continues the analysis of key issues affecting global financial markets. It examines the systemic implications of the continued ...

Journal of Financial Education

Journal of Financial Education
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1995
  • Total pages : 212
  • ISBN : 9814602086
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Summary : Read online Journal of Financial Education written by , published by which was released on 1995. Download full Journal of Financial Education Books now! Available in PDF, ePub and Kindle....

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  • Author : P. J. N. Sinclair
  • Publisher : Oxford [Oxfordshire] : Clarendon Press ; New York : Oxford University Press
  • Release Date : 1987
  • Total pages : 487
  • ISBN : 9814602086
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Summary : A special issue of "Oxford Economic Papers". This volume honours Keynes by gathering contemporary analysis of the issues upon which he initiated discussion....