Contemporary Quantitative Finance Essays in Honour of Eckhard Platen /
The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical...
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2010.
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| Online Access: | Full Text via HEAL-Link |
Table of Contents:
- Probabilistic Aspects of Arbitrage
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- M6—On Minimal Market Models and Minimal Martingale Measures
- The Economic Plausibility of Strict Local Martingales in Financial Modelling
- A Remarkable ?-finite Measure Associated with Last Passage Times and Penalisation Problems
- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation
- Existence and Non-uniqueness of Solutions for BSDE
- Comparison Theorems for Finite State Backward Stochastic Differential Equations
- Results on Numerics for FBSDE with Drivers of Quadratic Growth
- Variance Swap Portfolio Theory
- Stochastic Partial Differential Equations and Portfolio Choice
- Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do
- Pricing and Hedging of CDOs: A Top Down Approach
- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
- Buy Low and Sell High
- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes
- Binomial Models for Interest Rates
- Lognormal Forward Market Model (LFM) Volatility Function Approximation
- Maximum Likelihood Estimation for Integrated Diffusion Processes.
