Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”


XII, 280 p. online resource. - (Universitext, ) Content notes : Part A. Fundamental theorems -- Discrete time models -- Continuous time models -- Optimal management and price selection.- Part B. Markovian models and PDE approach -- Delta hedging in complete market -- Super-replication and its practical limits -- Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models -- Local volatility models -- Stochastic volatility models -- References. Distribution (Probability theory. Differential equations, partial. Mathematical optimization. Quantitative Finance. Probability Theory and Stochastic Processes. Partial Differential Equations. Calculus of Variations and Optimal Control; Optimization.

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