Beliefs-preferences gauge symmetry group and replication of contingent claims in a general market environment /
Valery A. Kholodnyi.
- Research Triangle Park, NC : IES Press, c1998.
- xxiii, 436 p. ; 24 cm.
Contents 1 Introduction
2 Preliminaries 2.1 Market Environment 2.2 Intervention Condition 2.3 Generators of a Market Environment 2.4 Abstract Market Environment 2.5 Intervention Condition for an Abstract Market Environment 2.6 Generators of an Abstract Market Environment
3 The Beliefs-Preferences Gauge Symmetry Group 3.1 Formalization of the Concept of a Market Participant 3.2 Beliefs-Preferences Gauge Symmetry Group for a Generalized Market Populace 3.3 Beliefs-Preferences Gauge Symmetry Group for a Market Populace 3.4 The Local in Time Formulation of the Beliefs-Preferences Gauge Symmetry Group for a Generalized Market Populace 3.5 The Local in Time Formulation of the Beliefs-Preferences Gauge Symmetry Group for a Market Populace 3.6 Beliefs-Preferences Gauge Symmetry Group for a Markovian Generalized Market Populace 3.7 Beliefs-Preferences Gauge Symmetry Group for a Markovian Market Populace
4 Beliefs-Preferences Gauge Symmetry Group for a Marksman Generalized Market Populace with Generalized Beliefs Determined by Diffusion Processes 4.1 The Case of a Single Underlying Security 4.2 The Case of a Multiple Underlying Security
5 Beliefs-Preferences Gauge Symmetry Group for a Markovian Market Populace with Beliefs Determined by Diffusion Processes 5.1 The Case of a Single Underlying Security 5.2 The Case of a Multiple Underlying Security
6 Application of the Beliefs-Preferences Gauge Symmetry Group to the Dynamic Replication of European Contingent Claims 6.1 The General Case of a Market Populace 6.2 The Case of a Markovian Market Populace
7 Application of the Beliefs-Preferences Gauge Symmetry Group to the Dynamic Replication of European Contingent Claims for a Markovian Market Populace with Beliefs Determined by Diffusion Processes 7.1 The Case of a Single Underlying Security 7.2 The Case of a Multiple Underlying Security
8 Method of Quasidifferential Operators for an Approximate Dynamic Replication of European Contingent Claims Based on the Beliefs-Preferences Gauge Symmetry Group 8.1 The Concept of a Quasidifferential Operator 8.2 Lie Module of Quasidifferential Operators 8.3 Beliefs-Preferences Gauge Symmetry Group for a Markovian Generalized Market Populace with Generalized Beliefs Generated by Quasidifferential Operators 8.4 Beliefs-Preferences Gauge Symmetry Group for a Markovian Market Populace with Generalized BeliefsGenerated by Quasidifferential Operators 8.5 Method of Quasidifferential Operators for an Approximate Dynamic Replication of European Contingent Claims in the Case of a Single Underlying Security 8.6 Method of Quasidifferential Operators for an Approximate Dynamic Replication of European Contingent Claims in the Case of a Multiple Underlying Security 8.7 Method of Quasidifferential Operators for an Approximate Dynamic Replication of European Contingent Claims in the Case of a Markovian Market Populace with Beliefs Determined by Jump Diffusion Processes
Includes bibliographical references (p. 425-439) and index.