Advanced mathematical methods for finance
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applica...
Enregistré dans:
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| Autres auteurs: | |
| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Sujets: | |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Description d'après consultation du 04 février 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Advanced mathematical methods for finance, Giulia Di Nunno, Bernt Øksendal, editors, 2011, Berlin, Springer, 1 vol. (VIII-536 p.), 978-3-642-18411-6 |
Table des matières:
- Dynamic risk measures Ambit processes and stochastic partial differential equations Fractional processes as models in stochastic finance Credit contagion in a long range dependent macroeconomic factor model Modeling information flows in financial markets An overview of comonotonicity and its applications in finance and insurance A general maximum principle for anticipative stochastic control and applications to insider trading Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models Optimal liquidation of a pairs trade A PDE-based approach or pricing mortgage-backed securities Nonparametric methods for volatility density estimation Fractional smoothness and applications in finance Liquidity models in continuous and discrete times Some new BSDE results for an infinite-horizon stochastic control problem Functionals associated with gradient stochastic flows and nonlinear SPDEs Fractional smoothness and applications in Finance modeled by F-doubly stochastic Markov chains Exotic derivatives under stochastic volatility models with jumps Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification