Cantitate/Preț
Produs
Total produse
Vezi coșul
Advanced Modelling in Mathematical Finance: In Honour of Ernst Eberlein de Jan Kallsen

Advanced Modelling in Mathematical Finance: In Honour of Ernst Eberlein: Springer Proceedings in Mathematics & Statistics, cartea 189

Editat de Jan Kallsen, Antonis Papapantoleon
en Limba Engleză Hardback – 6 dec 2016
This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students.
Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.
Citește tot Restrânge

Toate formatele și edițiile

Toate formatele și edițiile Preț Express
Paperback (1) 108633 lei  43-57 zile
  Springer International Publishing – 29 apr 2018 108633 lei  43-57 zile
Hardback (1) 109248 lei  43-57 zile
  Springer International Publishing – 6 dec 2016 109248 lei  43-57 zile

Din seria Springer Proceedings in Mathematics & Statistics

Preț: 109248 lei

Preț vechi: 133229 lei
-18% Nou

Puncte Express: 1639
Preț estimativ în valută:
20910€ • 21793$ • 17407£

Carte tipărită la comandă

Livrare economică 06-20 ianuarie 25

 Adaugă în coș

Wish list
Gift list
Am citit!
Adaugă în listă
Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9783319458731
ISBN-10: 3319458736
Pagini: 464
Ilustrații: XXIV, 496 p. 79 illus., 69 illus. in color.
Dimensiuni: 155 x 235 x 29 mm
Greutate: 0.9 kg
Ediția:1st ed. 2016
Editura: Springer International Publishing
Colecția Springer
Seria Springer Proceedings in Mathematics & Statistics

Locul publicării:Cham, Switzerland

Cuprins

Preface.- An Interview with Ernst Eberlein.- Part I: Flexible Lévy-based models. E. A. v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions.- O. Barndorff-Nielsen: Gamma kernels and BSS/LSS processes.- M. Mandjes and P. Spreij: Explicit computations for some Markov modulated counting processes.- Part II: Statistics and risk.- H. Geman and B. Liu: The outlook of energy markets in 2015: introducing distances between forward curves.- D. Madan: Three non-Gaussian models of dependence in returns.- A. Kimura and N. Yoshida: Estimation of correlation between latent processes.- J. Beirlant, W. Schoutens, J. De Spiegeleer, T. Reynkens, and K. Herrmann: Hunting for black swans in the European banking sector using extreme value analysis.- E. Lütkebohmert-Holtz and Y. Xiao: Collateralized borrowing and default risk.- G. Stahl: Model uncertainty in a holistic perspective.- Part III: Derivative pricing, hedging, and optimization.- Ch. Bayer and J. Schoenmakers: Option pricing in affine generalized Merton models.- G. Jahncke and J. Kallsen: Approximate pricing of call options on the quadratic variation in Lévy models.- A. Černý: Dynamic discrete-time hedging of barrier options under leptokurtic returns driven by an exponential Lévy model.- M. Musiela, E. Sokolova, and Th. Zariphopoulou: Exponential forward indifference prices in incomplete binomial models.- M. Feodoria and J. Kallsen: Almost surely optimal portfolios under propotional transaction costs.- J. M. Corcuera, J. Fajardo, and O. Pamen: On the optimal payoffs.- L. Rüschendorf and V. Wolf: Construction and hedging of optimal payoffs in Lévy Models.- Part IV: Term-structure modelling.- I. Klein, Th. Schmidt, and J. Teichmann: No arbitrage theory for bond markets.- K. Glau, Z. Grbac, and Antonis Papapantoleon: A unified view of LIBOR models.- Z. Grbac, D. Krief, and P. Tankov: Approximate option pricing in the Lévy LIBOR model.- F. E. Benth: Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework.

Textul de pe ultima copertă

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students.
Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.