Stochastic Finance

Ever since Black, Scholes, and Merton did their pioneering work in the field of financial mathematics, continuing research has led to the rapid development of a substantial body of knowledge, with numerous applications to the common functioning of the world’s financial institutions. Mathematics, as...

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Λεπτομέρειες βιβλιογραφικής εγγραφής
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Άλλοι συγγραφείς: Shiryaev, A. N. (Επιμελητής έκδοσης), Grossinho, M. R. (Επιμελητής έκδοσης), Oliveira, P. E. (Επιμελητής έκδοσης), Esquível, M. L. (Επιμελητής έκδοσης)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Boston, MA : Springer US, 2006.
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
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245 1 0 |a Stochastic Finance  |h [electronic resource] /  |c edited by A. N. Shiryaev, M. R. Grossinho, P. E. Oliveira, M. L. Esquível. 
264 1 |a Boston, MA :  |b Springer US,  |c 2006. 
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505 0 |a Plenary and Invited Lectures -- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise -- Multipower Variation and Stochastic Volatility -- Completeness of a General Semimartingale Market under Constrained Trading -- Extremal behavior of stochastic volatility models -- Capital Asset Pricing for Markets with Intensity Based Jumps -- Mortgage Valuation and Optimal Refinancing -- Computing efficient hedging strategies in discontinuous market models -- A Downside Risk Analysis based on Financial Index Tracking Models -- Contributed Talks -- Modelling electricity prices by the potential jump-diffusion -- Finite dimensional Markovian realizations for forward price term structure models -- Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach -- Power and Multipower Variation: inference for high frequency data. 
520 |a Ever since Black, Scholes, and Merton did their pioneering work in the field of financial mathematics, continuing research has led to the rapid development of a substantial body of knowledge, with numerous applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques. The essays in Stochastic Finance describe many of these techniques. Audience This book is intended for experts in mathematics, statistics, mathematical finances, and economics. 
650 0 |a Mathematics. 
650 0 |a Probabilities. 
650 1 4 |a Mathematics. 
650 2 4 |a Probability Theory and Stochastic Processes. 
700 1 |a Shiryaev, A. N.  |e editor. 
700 1 |a Grossinho, M. R.  |e editor. 
700 1 |a Oliveira, P. E.  |e editor. 
700 1 |a Esquível, M. L.  |e editor. 
710 2 |a SpringerLink (Online service) 
773 0 |t Springer eBooks 
776 0 8 |i Printed edition:  |z 9780387282626 
856 4 0 |u http://dx.doi.org/10.1007/0-387-28359-5  |z Full Text via HEAL-Link 
912 |a ZDB-2-SMA 
950 |a Mathematics and Statistics (Springer-11649)