Stochastic Finance

• Corporate Author: SpringerLink (Online service)
• Other Authors: Shiryaev, A. N. (Editor), Grossinho, M. R. (Editor), Oliveira, P. E. (Editor), Esquível, M. L. (Editor)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US, 2006.
• Subjects: Mathematics.; Probabilities.; Probability Theory and Stochastic Processes.

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...

Table of Contents:

• 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.