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    • Livre
    Sélectionner

    Probability through problems

    Capiński, Marek
    Zastawniak, Tomasz
    New York : Springer
    2003
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    Titre: Probability through problems / Marek Capiński, Tomasz Zastawniak
    Auteur: Capiński, Marek
    Contributeur: Zastawniak, Tomasz
    Edition: [Corr. print.].
    Editeur: New York : Springer
    Date: 2003
    Collation: 257 p. : fig. ; 25 cm
    Collection: Problem books in mathematics
    Documents dans cette collection: Problem books in mathematics
    Classification: IMATH 6-1114
    Identifiant: 038795063X (ISBN)
    No RERO: R003786272
    Permalien:
    http://data.rero.ch/01-R003786272/html?view=FR_V1

    • Livre
    Sélectionner

    Measure, integral and probability

    Capiński, Marek
    Kopp, Ekkehard
    London : Springer
    2005
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    Titre: Measure, integral and probability / Marek Capiński and Ekkehard Kopp
    Auteur: Capiński, Marek
    Contributeur: Kopp, Ekkehard
    Edition: 2nd ed., [2nd print.].
    Editeur: London : Springer
    Date: 2005
    Collation: 311 p. : fig. ; 24 cm
    Collection: Springer undergraduate mathematics series
    Documents dans cette collection: Springer undergraduate mathematics series
    Classification: IMATH B-1-433
    Identifiant: 1852337818 (ISBN)
    No RERO: R004110667
    Permalien:
    http://data.rero.ch/01-R004110667/html?view=FR_V1

    • Livre
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    Mathematics for finance : an introduction to financial engineering

    Capiński, Marek
    Zastawniak, Tomasz
    London : Springer
    2003
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    Titre: Mathematics for finance : an introduction to financial engineering / Marek Capiński and Tomasz Zastawniak
    Auteur: Capiński, Marek
    Contributeur: Zastawniak, Tomasz
    Editeur: London : Springer
    Date: 2003
    Collation: 310 p. : ill.
    Collection: Springer undergraduate mathematics series
    Documents dans cette collection: Springer undergraduate mathematics series
    Sujet RERO: Mathématiques financières
    Sujet RERO - forme: [Manuels d'enseignement]
    Classification: IMATH 7
    FSES C82
    Identifiant: 1852333308 (ISBN); 9781852333300 (ISBN)
    No RERO: R004165036
    Permalien:
    http://data.rero.ch/01-R004165036/html?view=FR_V1

    • Plusieurs versions

    Derivative pricing methodology in continuous-time models

    Capinski, Marek, Kopp, Ekkehard
    Applied Mathematics Letters, December 2012, Vol.25(12), pp.2137-2139 [Revue évaluée par les pairs]

    • Plusieurs versions

    No arbitrage in a simple credit risk model

    Capiński, Marek, Zastawniak, Tomasz
    Applied Mathematics Letters, November 2014, Vol.37, pp.39-42 [Revue évaluée par les pairs]

    • Livre
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    Stochastic calculus for finance

    Capiński, Marek
    Traple, Janusz, 1943-, Kopp, Ekkehard
    Cambridge : Cambridge University Press
    2012
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    Titre: Stochastic calculus for finance / Marek Capiński, Ekkehard Kopp, Janusz Traple
    Auteur: Capiński, Marek
    Contributeur: Traple, Janusz, 1943-; Kopp, Ekkehard
    Editeur: Cambridge : Cambridge University Press
    Date: 2012
    Collation: 177 S. : Ill.
    Collection: Mastering mathematical finance
    Documents dans cette collection: Mastering mathematical finance
    Sujet RERO: Mathématiques financières - Processus stochastiques
    Sujet LCSH: Finance -- Mathematical models - Financial engineering - Stochastic analysis
    Classification: FSES C82
    Identifiant: 0521175739 (pbk.) (ISBN); 1107002648 (hbk.) (ISBN); 9780521175739 (pbk.) (ISBN); 9781107002647 (hbk.) (ISBN)
    No RERO: R007719920
    Permalien:
    http://data.rero.ch/01-R007719920/html?view=FR_V1

    • Book Chapter
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    Path-dependent options

    Capiński, Marek, Kopp, Ekkehard
    The Black–Scholes Model
    Cambridge Core All Books (Cambridge University Press)
    Disponible
    Plus…
    Titre: Path-dependent options
    Auteur: Capiński, Marek; Kopp, Ekkehard
    Date: 13 September 2012
    Sujet: Business
    Description: Classical call and put options are examples of derivatives whose payoff depends on the stock price at exercise. We now present examples of options where payoff depends on the path. These are among the so-called exotic options. Instruments of this kind have become ever more prevalent in the markets in the past two decades. For our first class of such options we can still derive explicit closed-form pricing formulae, but such neat outcomes will become ever rarer as the complexity of the options increases, and one is forced, more and more, to rely on numerical approximation techniques. We remain in the Black-Scholes option pricing model, so our previous results apply here.Barrier optionsBarrier options have payoff functions that are simple modifications of the payoff of a call or put option: the call or put payoff has a cut-off point or barrier that depends on the maximum or minimum of the values of the underlying throughout the interval [0, T]. Its calculation involves analysis...
    Fait partie de: The Black–Scholes Model
    Identifiant: 9781107001695 (ISBN); 9780521173001 (ISBN); 1107001692 (ISBN); 0521173000 (ISBN)

    • Book Chapter
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    Strategies and risk-neutral probability

    Capiński, Marek, Kopp, Ekkehard
    The Black–Scholes Model
    Cambridge Core All Books (Cambridge University Press)
    Disponible
    Plus…
    Titre: Strategies and risk-neutral probability
    Auteur: Capiński, Marek; Kopp, Ekkehard
    Date: 13 September 2012
    Sujet: Business
    Fait partie de: The Black–Scholes Model
    Identifiant: 9781107001695 (ISBN); 9780521173001 (ISBN); 1107001692 (ISBN); 0521173000 (ISBN)

    • Book Chapter
    Sélectionner

    General models

    Capiński, Marek, Kopp, Ekkehard
    The Black–Scholes Model
    Cambridge Core All Books (Cambridge University Press)
    Disponible
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    Titre: General models
    Auteur: Capiński, Marek; Kopp, Ekkehard
    Date: 13 September 2012
    Sujet: Business
    Description: We generalise the Black-Scholes model in two directions: several assets and general coefficients in the equations describing the stock price dynamics. First we stick to the simple case where the equations for stock prices are linear. It seems pretty clear that all new features will be captured by the case of two assets. The extension from two to more assets is not likely to surprise us so we begin with a detailed discussion of some effects arising from one added dimension. Then we prepare the grounds for more general models and our objective here is to prove the Girsanov Theorem which enables us to find a risk-neutral probability. The celebrated Lévy Theorem, which characterises Wiener processes among continuous martingales, is used, together with a multi-dimensional version of the Itô formula, to prove this important result. Finally, we briefly consider some applications of these theorems to a multi-stock market.Two assetsFirst we need a probability space (Ω, ℱ, P) on which two...
    Fait partie de: The Black–Scholes Model
    Identifiant: 9781107001695 (ISBN); 9780521173001 (ISBN); 1107001692 (ISBN); 0521173000 (ISBN)

    • Book Chapter
    Sélectionner

    Option pricing and hedging

    Capiński, Marek, Kopp, Ekkehard
    The Black–Scholes Model
    Cambridge Core All Books (Cambridge University Press)
    Disponible
    Plus…
    Titre: Option pricing and hedging
    Auteur: Capiński, Marek; Kopp, Ekkehard
    Date: 13 September 2012
    Sujet: Business
    Fait partie de: The Black–Scholes Model
    Identifiant: 9781107001695 (ISBN); 9780521173001 (ISBN); 1107001692 (ISBN); 0521173000 (ISBN)