Mathematical Finance - Bachelier Congress 2000数学财政：会议录
点此进入淘宝搜索页搜索分類: 图书,进口原版书,经管与理财 Business & Investing ,
作者： Helyette Geman，Dilip Madan，Stanley R. Pliska，Ton Vorst著
出 版 社： 广东教育出版社
出版时间： 2002-2-1字数：版次： 1页数： 521印刷时间： 2002/02/01开本： 16开印次： 1纸张： 胶版纸I S B N ： 9783540677819包装： 精装内容简介
The Bachelier Society for Mathematical Finance，founded in 1996，held its 1st World Congress in Paris on June 28 to July 1，2000，thus coinciding in time with the centenary of the thesis defence of Louis Bachelier。In his thesis Bachelier introduced Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options，and this is widely considered the keystone for the emergence of mathematical finance as a scientific discipline。The prestigious list of plenary speakers in Paris included 2 Nobel laureates，Paul Samuelson and Robert Merton。Over 130 further selected talks were given in 3 parallel sessions，all well attended by the over 500 participants who registered from all continents。
目录
Bachelier and His Times: A Conversation with Bernard Bru
Modern Finance Theory Within One Lifetime
Future Possibilities in Finance Theory and Finance Practice
Brownian Motion and the General Diffusion: Scale & Clock
Rare Events, Large Deviations
Conquering the Greeks in Monte Carlo: Efficient Calculation of the Market Sensitivities and Hedge-Ratios of Financial Assets by Direct Numerical Simulation
On the Term Structure of Futures and Forward Prices
Displaced and Mixture Diffusions for Analytically-Tractable Smile Models
The Theory of Good-Deal Pricing in Financial Markets
Spread Option Valuation and the Fast Fourier Transform
The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments
The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
Using the Hull and White Two-Factor Model in Bank Treasury Risk Management
Default Risk and Hazard Process
Utility-Based Derivative Pricing in Incomplete Markets
Pricing Credit Derivatives in Credit Classes Frameworks
An Autoregressive Conditional Binomial Option Pricing Model
Markov Chains and the Potential Approach to Modelling Interest Rates and Exchange Rates
Theory and Calibration of HJM with Shape Factors
Optimal Investment in Incomplete Financial Markets
Evaluating Investments in Disruptive Technologies
Quickest Detection Problems in the Technical Analysis of the Financial Data