Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen
Editat de Carl Chiarella, Alexander Novikoven Limba Engleză Paperback – 13 dec 2014
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Specificații
ISBN-13: 9783642438585
ISBN-10: 364243858X
Pagini: 436
Ilustrații: X, 423 p.
Dimensiuni: 155 x 235 x 23 mm
Greutate: 0.61 kg
Ediția:2010
Editura: Springer Berlin, Heidelberg
Colecția Springer
Locul publicării:Berlin, Heidelberg, Germany
ISBN-10: 364243858X
Pagini: 436
Ilustrații: X, 423 p.
Dimensiuni: 155 x 235 x 23 mm
Greutate: 0.61 kg
Ediția:2010
Editura: Springer Berlin, Heidelberg
Colecția Springer
Locul publicării:Berlin, Heidelberg, Germany
Public țintă
ResearchCuprins
Probabilistic Aspects of Arbitrage.- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing.- M6—On Minimal Market Models and Minimal Martingale Measures.- The Economic Plausibility of Strict Local Martingales in Financial Modelling.- A Remarkable ?-finite Measure Associated with Last Passage Times and Penalisation Problems.- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation.- Existence and Non-uniqueness of Solutions for BSDE.- Comparison Theorems for Finite State Backward Stochastic Differential Equations.- Results on Numerics for FBSDE with Drivers of Quadratic Growth.- Variance Swap Portfolio Theory.- Stochastic Partial Differential Equations and Portfolio Choice.- Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do.- Pricing and Hedging of CDOs: A Top Down Approach.- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives.- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms.- Buy Low and Sell High.- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes.- Binomial Models for Interest Rates.- Lognormal Forward Market Model (LFM) Volatility Function Approximation.- Maximum Likelihood Estimation for Integrated Diffusion Processes.
Notă biografică
Carl Chiarella is currently Professor of Quantitative Finance at the University of Technology, Sydney. He holds doctorates in both applied mathematics and economics. He is the author of over 150 research articles in international journals and edited volumes and the author/coauthor of 5 books. Carl is a Co-Editor of the Journal of Economic Dynamics and Control and Associate Editor of Quantitative Finance, Studies in Nonlinear Dynamics and Econometrics, Computational Economics and European Journal of Finance.
Alexander Novikov is Professor of Mathematics (Chair in Probability) at the Department of Mathematical Sciences, the University of Technology, Sydney. He received the Doctor of Science degree in mathematics from Steklov Mathematical Institute, Moscow. He has edited several proceedings and published more than 80 research papers in different areas of statistics of random processes, sequential analysis, random fields and mathematical finance. Alexander has been member of the Editorial Board of Statistics and Probability Letters, Bernoulli and Methods of Mathematical Statistics.
Alexander Novikov is Professor of Mathematics (Chair in Probability) at the Department of Mathematical Sciences, the University of Technology, Sydney. He received the Doctor of Science degree in mathematics from Steklov Mathematical Institute, Moscow. He has edited several proceedings and published more than 80 research papers in different areas of statistics of random processes, sequential analysis, random fields and mathematical finance. Alexander has been member of the Editorial Board of Statistics and Probability Letters, Bernoulli and Methods of Mathematical Statistics.
Textul de pe ultima copertă
The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest 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 includes 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.
This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields.
Caracteristici
outlines contemporary advances in a number of key areas of mathematical finance authors are major contributors to these various areas dedicated to Professor Eckhard Platen to celebrate his 60th birthday, that occurred in 2009 Includes supplementary material: sn.pub/extras