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Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann de Klaus Sandmann

Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann

Editat de Klaus Sandmann, Philip J. Schönbucher
en Limba Engleză Hardback – 23 apr 2002
In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.
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Specificații

ISBN-13: 9783540434641
ISBN-10: 354043464X
Pagini: 336
Ilustrații: XX, 312 p.
Dimensiuni: 155 x 235 x 24 mm
Greutate: 0.65 kg
Ediția:2002
Editura: Springer Berlin, Heidelberg
Colecția Springer
Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Research

Cuprins

Coherent Risk Measures on General Probability Spaces.- Robust Preferences and Convex Measures of Risk.- Long Head—Runs and Long Match Patterns.- Factor Pricing in Multidate Security Markets.- Option Pricing for Co-Integrated Assets.- Incomplete Diversification and Asset Pricing.- Hedging of Contingent Claims under Transaction Costs.- Risk Management for Derivatives in Illiquid Markets: A Simulation Study.- A Simple Model of Liquidity Effects.- Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm.- Arbitrage—Free Interpolation in Models of Market Observable Interest Rates.- The Fair Premium of an Equity—Linked Life and Pension Insurance.- On Bermudan Options.- A Barrier Version of the Russian Option.- Laplace Transforms and Suprema of Stochastic Processes.- Solving the Poisson Disorder Problem.

Recenzii

From the reviews:
"This book marks the 65th birthday of Dieter Sondermann, the founding editor of the journal Finance and Stochastics. … There is a great variety of papers contained in this book and all at a high level. Certainly there is something for everyone interested in financial mathematics here, ranging from theoretical through to applied works and covering most of the branches in the field. … This is an excellent collection which I will enjoy making use of in the years to come." (Andrew Cairns, ASTIN Bulletin, Vol. 32 (2), 2002)

Caracteristici

Includes supplementary material: sn.pub/extras