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...

Πλήρης περιγραφή

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
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.