Contemporary quantitative Finance : essays in honour of Eckhard Platen
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...
Tallennettuna:
| Muut tekijät: | , |
|---|---|
| Aineistotyyppi: | Livre numérique |
| Kieli: | Anglais |
| Julkaistu: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2010.
Cham : Springer Nature |
| Linkit: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Huomautus: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Contemporary Quantitative Finance, Texte imprimé, 9783642034862 • Contemporary Quantitative Finance, Texte imprimé, 9783642438585 • Contemporary quantitative finance, essays in honour of Eckhard Platen, Carl Chiarelli, Alexander Nokilov Editors, Heidelberg, Springer, 2010, 1 vol. (X-423 p.), 978-3-642-03478-7 |
Sisällysluettelo:
- 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.