Advances in finance and stochastics: essays in honour of Dieter Sondermann
Advances have been made in many areas of finance and stochastics since the field was opened in 1973. These articles cover the research topics of academics and practitioners, spanning risk management, portfolio theory, multi-asset derivatives, market imperfections, interest-rate modelling and more.
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2002
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | Advances have been made in many areas of finance and stochastics since the field was opened in 1973. These articles cover the research topics of academics and practitioners, spanning risk management, portfolio theory, multi-asset derivatives, market imperfections, interest-rate modelling and more. |
| Physical Description: | XIX, 312 S. graph. Darst. |
| ISBN: | 354043464X |
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| 520 | 3 | |a Advances have been made in many areas of finance and stochastics since the field was opened in 1973. These articles cover the research topics of academics and practitioners, spanning risk management, portfolio theory, multi-asset derivatives, market imperfections, interest-rate modelling and more. | |
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Table of Contents
Coherent Risk Measures on General Probability Spaces
Freddy Delbaen 1
Robust Preferences and Convex Measures of Risk
Hans Follmer, Alexander Schied 39
Long Head Runs and Long Match Patterns
Paul Embrechts, Sergei Y. Novak 57
Factor Pricing in Multidate Security Markets
Jan Werner 71
Option Pricing for Co Integrated Assets
Jin Chuan Duan, Stanley R. Pliska 85
Incomplete Diversification and Asset Pricing
Dilip B. Madan, Frank Milne, Robert J. Elliott 101
Hedging of Contingent Claims under Transaction Costs
Yuri M. Kabanov, Christophe Strieker 125
Risk Management for Derivatives in Illiquid Markets:
A Simulation Study
Rudiger Frey, Pierre Patie 137
A Simple Model of Liquidity Effects
L. C. G. Rogers, Omar Zone 161
Estimation in Models of the Instantaneous Short Term
Interest Rate by Use of a Dynamic Bayesian Algorithm
Ramaprasad Bhar, Carl Chiarella, Wolfgang J. Runggaldier 177
Arbitrage—Free Interpolation in Models of Market Observable
Interest Rates
Erik Schlogl 197
XIV Table of Contents
The Fair Premium of an Equity—Linked Life and Pension
Insurance
J. Aase Nielsen, Klaus Sandmann 219
On Bermudan Options
Martin Schweizer 257
A Barrier Version of the Russian Option
Larry A. Shepp, Albert N. Shiryaev, Agnes Sulem 271
Laplace Transforms and Suprema of Stochastic Processes
Klaus Schiirger 285
Solving the Poisson Disorder Problem
Goran Peskir, Albert N. Shiryaev 295 |
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| callnumber-sort | HG 3101 A34 42002 |
| callnumber-subject | HG - Finance |
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| dewey-full | 330/.01/5192321 330/.01/51923 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
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| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| indexdate | 2024-09-23T12:20:12Z |
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| isbn | 354043464X |
| language | English |
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| physical | XIX, 312 S. graph. Darst. |
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| spelling | Advances in finance and stochastics essays in honour of Dieter Sondermann Klaus Sandmann ...(ed.) Berlin [u.a.] Springer 2002 XIX, 312 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advances have been made in many areas of finance and stochastics since the field was opened in 1973. These articles cover the research topics of academics and practitioners, spanning risk management, portfolio theory, multi-asset derivatives, market imperfections, interest-rate modelling and more. Sondermann, Dieter 1937- (DE-588)124147577 gnd rswk-swf Finance rasuqam Financieel management gtt Financiën gtt Gestion des risques rasuqam Instrument dérivé (Finances) rasuqam Marché des valeurs mobilières rasuqam Option (Finances) rasuqam Processus stochastique rasuqam Risque financier rasuqam Stochastische methoden gtt Taux d'intérêt rasuqam Théorie du portefeuille rasuqam Finance Stochastic processes Stochastik (DE-588)4121729-9 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Bibliografie (DE-588)4006432-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4016928-5 Festschrift gnd-content Finanzmathematik (DE-588)4017195-4 s Stochastik (DE-588)4121729-9 s DE-604 Sondermann, Dieter 1937- (DE-588)124147577 p Bibliografie (DE-588)4006432-3 s Stochastisches Modell (DE-588)4057633-4 s Sandmann, Klaus Sonstige oth Sondermann, Dieter 1937- (DE-588)124147577 hnr HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009746045&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Advances in finance and stochastics essays in honour of Dieter Sondermann Sondermann, Dieter 1937- (DE-588)124147577 gnd Finance rasuqam Financieel management gtt Financiën gtt Gestion des risques rasuqam Instrument dérivé (Finances) rasuqam Marché des valeurs mobilières rasuqam Option (Finances) rasuqam Processus stochastique rasuqam Risque financier rasuqam Stochastische methoden gtt Taux d'intérêt rasuqam Théorie du portefeuille rasuqam Finance Stochastic processes Stochastik (DE-588)4121729-9 gnd Stochastisches Modell (DE-588)4057633-4 gnd Bibliografie (DE-588)4006432-3 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)124147577 (DE-588)4121729-9 (DE-588)4057633-4 (DE-588)4006432-3 (DE-588)4017195-4 (DE-588)4143413-4 (DE-588)4016928-5 |
| title | Advances in finance and stochastics essays in honour of Dieter Sondermann |
| title_auth | Advances in finance and stochastics essays in honour of Dieter Sondermann |
| title_exact_search | Advances in finance and stochastics essays in honour of Dieter Sondermann |
| title_full | Advances in finance and stochastics essays in honour of Dieter Sondermann Klaus Sandmann ...(ed.) |
| title_fullStr | Advances in finance and stochastics essays in honour of Dieter Sondermann Klaus Sandmann ...(ed.) |
| title_full_unstemmed | Advances in finance and stochastics essays in honour of Dieter Sondermann Klaus Sandmann ...(ed.) |
| title_short | Advances in finance and stochastics |
| title_sort | advances in finance and stochastics essays in honour of dieter sondermann |
| title_sub | essays in honour of Dieter Sondermann |
| topic | Sondermann, Dieter 1937- (DE-588)124147577 gnd Finance rasuqam Financieel management gtt Financiën gtt Gestion des risques rasuqam Instrument dérivé (Finances) rasuqam Marché des valeurs mobilières rasuqam Option (Finances) rasuqam Processus stochastique rasuqam Risque financier rasuqam Stochastische methoden gtt Taux d'intérêt rasuqam Théorie du portefeuille rasuqam Finance Stochastic processes Stochastik (DE-588)4121729-9 gnd Stochastisches Modell (DE-588)4057633-4 gnd Bibliografie (DE-588)4006432-3 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Sondermann, Dieter 1937- Finance Financieel management Financiën Gestion des risques Instrument dérivé (Finances) Marché des valeurs mobilières Option (Finances) Processus stochastique Risque financier Stochastische methoden Taux d'intérêt Théorie du portefeuille Stochastic processes Stochastik Stochastisches Modell Bibliografie Finanzmathematik Aufsatzsammlung Festschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009746045&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT sandmannklaus advancesinfinanceandstochasticsessaysinhonourofdietersondermann AT sondermanndieter advancesinfinanceandstochasticsessaysinhonourofdietersondermann |