Inspired by Finance The Musiela Festschrift /
The present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, well-known for his important contribution into problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics of modern mathematical finance. Under t...
| Συγγραφή απο Οργανισμό/Αρχή: | |
|---|---|
| Άλλοι συγγραφείς: | , , |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Cham :
Springer International Publishing : Imprint: Springer,
2014.
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- R. Ahlip and M. Rutkowski: Forward Start Foreign Exchange Options under Heston’s Volatility and the CIR Interest R
- A. Bensoussan and S. R. Hoe:Real Options with Competition and Incomplete Market
- T. R. Bielecki and S. Crépey: Dynamic Hedging of Counterparty Exposure
- L. Campi:A Note on Market Completeness with American Put Options
- S. Cawston and L. Vostrikova: An f -Divergence Approach for Optimal Portfolios in Exponential Lévy Models
- B. Chouaf and S. Pergamenchtchikov: Optimal Investment with Bounded VaR for Power Utility Functions
- T. Choulli, J. Ma and M.-A. Morlais:Three Essays on Exponential Hedging with Variable Exit Times
- S. Darses and E.l Lépinette: Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient
- N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari:Conditional Default Probability and Density
- R. Douady:Yield Curve Smoothing and Residual Variance of Fixed Income Positions
- E. Eberlein and D. B. Madan: Maximally Acceptable Portfolios
- P. V. Gapeev: Some Extensions of Norros’ Lemma in Models with Several Defaults
- P. V. Gapeev and N. Rodosthenous:On the Pricing of Perpetual American Compound Options
- E. Gobet and A. Suleiman: New Approximations in Local Volatility Models
- P. Hepperger: Low-Dimensional Partial Integro-Differential Equations for High-Dimensional Asian Options
- C. Kardaras: A Time BeforeWhich Insiders Would Not Undertake Risk
- P.l C. Kettler, F. Proske, M. Rubtsov: Sensitivity with Respect to the Yield Curve:Duration in a Stochastic Setting
- M. Kijima and C. Ch. Siu:On the First Passage Time under Regime-Switching with Jumps
- A. Kohatsu-Higa, N. Vayatis, K. Yasuda: Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
- I. Molchanov and M. Schmutz:Multiasset Derivatives and Joint Distributions of Asset Prices
- A. A. Novikov, T. G. Ling and N. Kordzakhia: Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results
- S. Nadtochiy and Th. Zariphopoulou: A Class of Homothetic Forward Investment Performance Processes with Non-Zero Volatility
- E. Presman: Solution of Optimal Stopping Problem Based on a Modification of Payoff Function
- M. Schmutz and Th. Zürcher:A Stieltjes Approach to Static Hedges
- I. M. Sonin:Optimal Stopping of Seasonal Observations and Projection of a Markov Chain.
