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不完全市場信息下信用風險模型的研究(英文版) 版權信息
- ISBN：9787310059591
- 條形碼：9787310059591 ; 978-7-310-05959-1
- 裝幀：一般膠版紙
- 冊數：暫無
- 重量：暫無
- 所屬分類：>
不完全市場信息下信用風險模型的研究(英文版) 內容簡介
本書涉及金融工程方面的信用風險建模研究，主要探討不接近市場信息下信用風險模型的構建，對于普及信用風險及信用衍生品知識、促進金融創新、加強金融風險管理、推動我國金融競爭力提供了重要的理論依據，有重大的參考作用和借鑒意義。
不完全市場信息下信用風險模型的研究(英文版) 目錄
Chapter 1 Introduction
1．1 Preliminary work
1．2 Overview of the book
Chapter 2 Filtering model and the Zakai equation
2．1 Stochastic filtering
2．1．1 A general introduction
2．1．2 The filtering equations
2．1．3 Finite dimensional filters
2．1．4 Filtering from point process observations
2．2 The filtering model
2．2．1 Unobserved state process
2．2．2 Observations
2．2．3 The objective
2．3 The innovations processes
2．4 The Zakai equations
2．4．1 A new measure
2．4．2 The unnormalized filtering equations
Chapter 3 Numerical methods
3．1 A finite dimensional filter
3．1．1 Two special cases
3．1．2 A finite dimensional filter
3．2 The finite-state Markov chain approximation
3．2．1 Approximating Markov chain
3．2．2 Filter
3．2．3 Numerical solution
3．3 Particle methods
Chapter 4 Linear stochastic PDEs
4．1 Semigroup approach
4．1．1 Semigroup
4．1．2 Linear SPDEs
4．2 The variational approach to linear parabolic SPDEs
4．2．1 General setting
4．2．2 Basic results for linear parabolic SPDEs with Gaussiau noise
Chapter 5 Unnormalized conditional density
5．1 Assumptions
5．2 Main results
5．3 Finding the unnormalized conditional density
5．4 Proof of Theorem 5．3
5．4．1 Some existence and uniqueness results on stochastic PDEs
5．4．2 The backward SPDEs
5．4．3 The unnormalized conditional density
Chapter 6 Convergence results
6．1 Introduction
6．2 The mild form of the Zakal equation
6．3 The stochastic integral
6．4 Continuity theorem
6．4．1 Continuity theorem
6．4．2 Proofs
6．5 Galerkin approximation
Chapter 7 Galerkin approximation
7．1 SDEs
7．1．1 Analytical solution
7．1．2 Numerical methods for SDEs
7．2 Basis functions
7．2．1 Gaussiau series
7．2．2 Hermite expansion
7．3 The adaptive Galerkin approximation
7．3．1 Introduction
7．3．2 The adaptive Galerkin approximation
7．3．3 The adaptive Galerkin approximation with Hermite polynomials
7．4 Proofs
7．5 Simulation studies
7．5．1 Tables
7．5．2 Figures
7．5．3 Summary
Appendix A Auxiliary calculations
A．1 Preliminaries
A．1．1 Sobolev spaces
A．1．2 Some spaces of processes
A．2 Some Hilbert spaces
Appendix B List of frequently used notations and symbols
Bibliography
1．1 Preliminary work
1．2 Overview of the book
Chapter 2 Filtering model and the Zakai equation
2．1 Stochastic filtering
2．1．1 A general introduction
2．1．2 The filtering equations
2．1．3 Finite dimensional filters
2．1．4 Filtering from point process observations
2．2 The filtering model
2．2．1 Unobserved state process
2．2．2 Observations
2．2．3 The objective
2．3 The innovations processes
2．4 The Zakai equations
2．4．1 A new measure
2．4．2 The unnormalized filtering equations
Chapter 3 Numerical methods
3．1 A finite dimensional filter
3．1．1 Two special cases
3．1．2 A finite dimensional filter
3．2 The finite-state Markov chain approximation
3．2．1 Approximating Markov chain
3．2．2 Filter
3．2．3 Numerical solution
3．3 Particle methods
Chapter 4 Linear stochastic PDEs
4．1 Semigroup approach
4．1．1 Semigroup
4．1．2 Linear SPDEs
4．2 The variational approach to linear parabolic SPDEs
4．2．1 General setting
4．2．2 Basic results for linear parabolic SPDEs with Gaussiau noise
Chapter 5 Unnormalized conditional density
5．1 Assumptions
5．2 Main results
5．3 Finding the unnormalized conditional density
5．4 Proof of Theorem 5．3
5．4．1 Some existence and uniqueness results on stochastic PDEs
5．4．2 The backward SPDEs
5．4．3 The unnormalized conditional density
Chapter 6 Convergence results
6．1 Introduction
6．2 The mild form of the Zakal equation
6．3 The stochastic integral
6．4 Continuity theorem
6．4．1 Continuity theorem
6．4．2 Proofs
6．5 Galerkin approximation
Chapter 7 Galerkin approximation
7．1 SDEs
7．1．1 Analytical solution
7．1．2 Numerical methods for SDEs
7．2 Basis functions
7．2．1 Gaussiau series
7．2．2 Hermite expansion
7．3 The adaptive Galerkin approximation
7．3．1 Introduction
7．3．2 The adaptive Galerkin approximation
7．3．3 The adaptive Galerkin approximation with Hermite polynomials
7．4 Proofs
7．5 Simulation studies
7．5．1 Tables
7．5．2 Figures
7．5．3 Summary
Appendix A Auxiliary calculations
A．1 Preliminaries
A．1．1 Sobolev spaces
A．1．2 Some spaces of processes
A．2 Some Hilbert spaces
Appendix B List of frequently used notations and symbols
Bibliography
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不完全市場信息下信用風險模型的研究(英文版) 作者簡介
徐凌，中國石油大學(華東)經濟管理學院副教授、碩士生導師；研究方向：金融工程、信用風險建模、統計等。出版《人才統計學》等著作2部，發表高水平學術論文10余篇，主持國家自然科學基金、教育部人文社科基金、教育部歸國留學基金各1項，參與國家級、省部級、校級教改項目等10余項。 徐梅，中國石油大學(華東)經濟管理學院副教授、碩士生導師。
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