Inspired by finance: the Musiela festschrift
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cham [u.a.]
Springer
2014
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FRO01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9783319020686 9783319020693 |
| DOI: | 10.1007/978-3-319-02069-3 |
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Datensatz im Suchindex
| _version_ | 1804151831136305152 |
|---|---|
| adam_text | INSPIRED BY FINANCE
/
: 2014
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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. CREPEY: 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 LEVY 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 LEPINETTE: 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. ZUERCHER:A STIELTJES APPROACH TO STATIC HEDGES
I. M. SONIN:OPTIMAL STOPPING OF SEASONAL OBSERVATIONS AND PROJECTION OF
A MARKOV CHAIN
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
INSPIRED BY FINANCE
/
: 2014
ABSTRACT / INHALTSTEXT
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 THE COVER THE READER FINDS 25 RESEARCH
PAPERS OF 47 AUTHORS, FAMOUS OR YOUNG, COVERING THE WHOLE RANGE OF THE
HOT TOPICS OF THE DISCIPLINE. THE CONTRIBUTED ARTICLES NOT ONLY GIVE A
CLEAR PICTURE ABOUT WHAT IS GOING ON IN THIS FAST DEVELOPING FIELD OF
KNOWLEDGE BUT PROVIDE METHODS READY FOR PRACTICAL IMPLEMENTATION. THEY
ALSO OPEN PERSPECTIVES FOR FURTHER STUDIES IN RISK MANAGEMENT, PORTFOLIO
OPTIMIZATION, AND FINANCIAL ENGINEERING
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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| title | Inspired by finance the Musiela festschrift |
| title_auth | Inspired by finance the Musiela festschrift |
| title_exact_search | Inspired by finance the Musiela festschrift |
| title_full | Inspired by finance the Musiela festschrift Yuri Kabanov ..., ed. |
| title_fullStr | Inspired by finance the Musiela festschrift Yuri Kabanov ..., ed. |
| title_full_unstemmed | Inspired by finance the Musiela festschrift Yuri Kabanov ..., ed. |
| title_short | Inspired by finance |
| title_sort | inspired by finance the musiela festschrift |
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