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...
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| Format: | Electronic |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2010.
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| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-03479-4 |
Table of Contents:
- C. Chiarella and A. Novikov: Introduction
- D. Fernholz and I. Karatzas: Probabilistic aspects of arbitrage
- C. Kardaras: Finitely additive probabilities and the fundamental theorem of asset pricing
- H. Hulley and M. Schweizer: M6 - On minimal market models and minimal martingale measures
- H. Hulley: The economic plausibility of strict local martingales in financial modelling
- J. Najnudel and A. Nikeghbali: A remarkable $ sigma$-finite measure associated with last passage times and penalisation problems
- G. Galesso and W. Runggaldier: Pricing without equivalent martingale measures under complete and incomplete observation
- X. Bao, F. Delbaen and Y. Hu: Existence and non-uniqueness of solutions for BSDE
- S. N. Cohen and R. J. Elliott: Comparison theorems for finite state backward stochastic differential equations
- P. Imkeller, G. D. Reis and J. Zhang: Results on numerics for FBSDE with drivers of quadratic growth
- D. B. Madan: Variance Swap Portfolio Theory
- M. Musiela and T. Zariphopoulou: Stochastic partial differential equations and portfolio choice
- C. Veiga and U. Wystup: Issuers<U+0019> commitments would add more value than any rating scheme could ever do
- D. Filipovic and T. Schmidt: Pricing and hedging of CDOs: A top down approach
- P. V. Gapeev, M. Jeanblanc, L. Li and M. Rutkowski: Constructing random times with given survival processes and applications to valuation of credit derivatives
- C. Chiarella, A. Ziogas and J. Ziveyi: Representation or American option prices under Heston stochastic volatility dynamics using integral transforms
- M. Dai, H. Jin, Y. Zhong and X. Y. Zhou: Buy low and Sell high
- K. A. Borovkov, A. N. Downes and A. Novikov: Continuity theorems in boundary crossing problems for diffusion processes
- J. Van der Hoek: Binomial models for interest rates
- I. H. Chung, T. Dun and E. Schlg̲l: Lognormal Forward Market Model (LFM) volatility function approximation
- F. Baltazar-Larios and M. Sr̜ensen: Maximum likelihood estimation for integrated diffusion processes.