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...
Συγγραφή απο Οργανισμό/Αρχή: | |
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Άλλοι συγγραφείς: | , , , |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Boston, MA :
Springer US,
2006.
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.