| Description |
1 online resource (x, 423 pages) : illustrations |
| Contents |
Probabilistic Aspects of Arbitrage / Daniel Fernholz and Ioannis Karatzas -- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing / Constantinos Kardaras -- M6-On Minimal Market Models and Minimal Martingale Measures / Hardy Hulley and Martin Schweizer -- The Economic Plausibility of Strict Local Martingales in Financial Modelling / Hardy Hulley -- A Remarkable [sigma]-finite Measure Associated with Last Passage Times and Penalisation Problems / Joseph Najnudel and Ashkan Nikeghbali -- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation / Giorgia Galesso and Wolfgang J. Runggaldier -- Existence and Non-uniqueness of Solutions for BSDE / Xiaobo Bao, Freddy Delbaen and Ying Hu -- Comparison Theorems for Finite State Backward Stochastic Differential Equations / Samuel N. Cohen and Robert J. Elliott -- Results on Numerics for FBSDE with Drivers of Quadratic Growth / Peter Imkeller, Gonçalo Dos Reis and Jianing Zhang -- Variance Swap Portfolio Theory / Dilip B. Madan -- Stochastic Partial Differential Equations and Portfolio Choice / Marek Musiela and Thaleia Zariphopoulou -- Issuers' Commitments Would Add More Value than Any Rating Scheme Could Ever Do / Carlos Veiga and Uwe Wystup -- Pricing and Hedging of CDOs: A Top Down Approach / Damir Filipović and Thorsten Schmidt -- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives / Pavel V. Gapeev, Monique Jeanblanc, Libo Li and Marek Rutkowski -- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms / Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi -- Buy Low and Sell High / Min Dai, Hanqing Jin, Yifei Zhong and Xun Yu Zhou -- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes / Konstantin A. Borovkov, Andrew N. Downes and Alexander A. Novikov -- Binomial Models for Interest Rates / John van der Hoek -- Lognormal Forward Market Model (LFM) Volatility Function Approximation / In-Hwan Chung, Tim Dun and Erik Schlögl -- Maximum Likelihood Estimation for Integrated Diffusion Processes / Fernando Baltazar-Larios and Michael Sørensen |
| Summary |
The contributors to this volume have written a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interests rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors contains many of the researchers who have made the major contributions to these various areas of mathematical finance |
|
This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields. --Book Jacket |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Platen, Eckhard.
|
| SUBJECT |
Platen, Eckhard fast |
| Subject |
Finance -- Mathematical models.
|
|
BUSINESS & ECONOMICS -- Finance.
|
|
Finanzas -- Modelos matemáticas
|
|
Finance -- Mathematical models
|
|
Kreditmarkt
|
|
Kreditrisiko
|
|
Kreditderivat
|
|
Finanzmathematik
|
|
Optimierung
|
|
Kontrolltheorie
|
|
Stochastischer Prozess
|
| Genre/Form |
Aufsatzsammlung.
|
| Form |
Electronic book
|
| Author |
Chiarella, Carl.
|
|
Novikov, Alexander.
|
| ISBN |
9783642034794 |
|
3642034799 |
|
