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Option Pricing in Fractional Brownian Markets - Stefan Rostek
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Option Pricing in Fractional Brownian Markets - neues Buch

2009, ISBN: 9783642003301

ID: 211221906

Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore no arbitrage pricing cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rosteks dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting. In this book, the author points out that arbitrage can only be excluded in case that market prices move at least slightly faster than any market participant can react. Bücher > Fremdsprachige Bücher > Englische Bücher > Preisgekrönte Bücher Taschenbuch 04.05.2009 Buch (fremdspr.), Springer, .200

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Option Pricing in Fractional Brownian Markets - Stefan Rostek
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Stefan Rostek:
Option Pricing in Fractional Brownian Markets - neues Buch

2003, ISBN: 9783642003301

ID: 745707466

Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore no arbitrage pricing cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rosteks dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting. In this book, the author points out that arbitrage can only be excluded in case that market prices move at least slightly faster than any market participant can react. Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher>Preisgekrönte Bücher, Springer

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Option Pricing in Fractional Brownian Markets - Stefan Rostek
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Stefan Rostek:
Option Pricing in Fractional Brownian Markets - Taschenbuch

2003, ISBN: 9783642003301

[ED: Taschenbuch], [PU: Springer-Verlag GmbH], Neuware - Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore 'no arbitrage pricing' cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek's dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a rst idea of this special market setting., DE, [SC: 0.00], Neuware, gewerbliches Angebot, FixedPrice, 137, [GW: 240g], offene Rechnung (Vorkasse vorbehalten), PayPal, Banküberweisung

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Option Pricing in Fractional Brownian Markets - Stefan Rostek
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(*)
Stefan Rostek:
Option Pricing in Fractional Brownian Markets - Taschenbuch

1, ISBN: 9783642003301

[ED: Taschenbuch], [PU: Springer-Verlag GmbH], Neuware - Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore 'no arbitrage pricing' cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek's dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a rst idea of this special market setting., DE, [SC: 0.00], Neuware, gewerbliches Angebot, 235x155x8 mm, 137, [GW: 240g], Banküberweisung, PayPal

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Rostek, Stefan: Option Pricing in Fractional Brownian Markets
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Rostek, Stefan: Option Pricing in Fractional Brownian Markets - neues Buch

ISBN: 9783642003301

ID: 90635608

Bücher > Wissenschaft > Wirtschaftswissenschaft, [PU: Springer, Berlin/Heidelberg/New York, NY]

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Details zum Buch
Option Pricing in Fractional Brownian Markets

The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian motion does not qualify for modeling price process.In this book, the author points out that arbitrage can only be excluded in case that market prices move at least slightly faster than any market participant can react. He clarifies that continuous tradability always eliminates the risk of the fractional price process, irrespective of the interpretation of the stochastic integral as an integral of Stratonovich or Itô type.Being left with an incomplete market setting, the author shows that option valuation with respect to fractional Brownian motion may be solved by applying a risk preference based approach. The latter provides us with an intuitive closed-form solution for European options within the fractional context.

Detailangaben zum Buch - Option Pricing in Fractional Brownian Markets


EAN (ISBN-13): 9783642003301
ISBN (ISBN-10): 3642003303
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2009
Herausgeber: Springer-Verlag GmbH
137 Seiten
Gewicht: 0,240 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 04.05.2009 08:15:46
Buch zuletzt gefunden am 17.07.2017 12:20:09
ISBN/EAN: 9783642003301

ISBN - alternative Schreibweisen:
3-642-00330-3, 978-3-642-00330-1


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