Advanced Modeling in Mathematical Finance: In Honour of Ernst Eberlein
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2017]
|
| Schlagworte: | |
| Online-Zugang: | http://www.springer.com/ Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | xxiv, 496 Seiten Illustrationen 23.5 cm x 15.5 cm, 0 g |
| ISBN: | 3319458736 9783319458731 |
Internformat
MARC
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| 245 | 1 | 0 | |a Advanced Modeling in Mathematical Finance |b In Honour of Ernst Eberlein |c Jan Kallsen, Antonis Papapantoleon, editors |
| 264 | 1 | |a Cham |b Springer |c [2017] | |
| 300 | |a xxiv, 496 Seiten |b Illustrationen |c 23.5 cm x 15.5 cm, 0 g | ||
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| 653 | |a KF | ||
| 653 | |a Ernst Eberlein | ||
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| 653 | |a advanced stochastic models | ||
| 653 | |a mathematical finance | ||
| 653 | |a option pricing and hedging | ||
| 653 | |a processes with jumps | ||
| 653 | |a statistics | ||
| 653 | |a term structure models | ||
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| 700 | 1 | |a Papapantoleon, Antonis |0 (DE-588)132826828 |4 edt | |
| 700 | 1 | |a Eberlein, Ernst |d 1945- |0 (DE-588)171412842 |4 hnr | |
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Datensatz im Suchindex
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Contents
Part I Flexible Levy-based Models
Tail Behaviour and Tail Dependence of Generalized Hyperbolic
Distributions. 3
Ernst August v. Hammerstein
Gamma Kernels and BSS/LSS Processes. 41
Ole E. Bamdorff-Nielsen
Explicit Computations for Some Markov Modulated Counting
Processes. 63
Michel Mandjes and Peter Spreij
Part II Statistics and Risk
Introducing Distances Between Commodity Markets:
The Case of the US and UK Natural Gas. 93
Helyette Geman and Bo Liu
Three Non-Gaussian Models of Dependence in Returns. 107
Dilip B. Madan
Estimation of Correlation Between Latent Processes. 131
Akitoshi Kimura and Nakahiro Yoshida
Hunting for Black Swans in the European Banking Sector
Using Extreme Value Analysis. 147
Jan Beirlant, Wim Schoutens, Jan De Spiegeleer, Tom Reynkens
and Klaus Herrmann
Collateralized Borrowing and Default Risk. 167
Eva Liitkebohmert and Yajun Xiao
Model Uncertainty in a Holistic Perspective. 189
Gerhard Stahl
IX
X
Contents
Part III Derivative Pricing, Hedging, and Optimisation
Option Pricing in Affine Generalized Merton Models. 219
Christian Bayer and John Schoenmakers
Approximate Pricing of Call Options on the Quadratic Variation
in Lévy Models. 241
Giso Jahncke and Jan Kallsen
Discrete-Time Quadratic Hedging of Barrier Options
in Exponential Lévy Model. 257
Ales Cerny
Forward Exponential Indifference Valuation in an Incomplete
Binomial Model. 277
M. Musiela, E. Sokolova and T. Zariphopoulou
Almost Surely Optimal Portfolios Under Proportional
Transaction Costs. 303
Mark-Roman Feodoria and Jan Kallsen
On the Optimal Investment. 313
José Manuel Corcuera, José Fajardo and Olivier Menouken Pamen
Construction and Hedging of Optimal Payoffs in Lévy Models. 331
Ludger Rüschendorf and Viktor Wolf
Part IV Term-Structure Modelling
No Arbitrage Theory for Bond Markets. 381
Irene Klein, Thorsten Schmidt and Josef Teichmann
A Unified View of LIBOR Models. 423
Kathrin Glau, Zorana Grbac and Antonis Papapantoleon
Approximate Option Pricing in the Lévy Libor Model. 453
Zorana Grbac, David Krief and Peter Tankov
Cointegrated Commodity Markets and Pricing of Derivatives
in a Non-Gaussian Framework. 477
Fred Espen Benth |
| any_adam_object | 1 |
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| bvnumber | BV043897899 |
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| ctrlnum | (OCoLC)969651070 (DE-599)DNB1108795935 |
| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| spelling | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein Jan Kallsen, Antonis Papapantoleon, editors Cham Springer [2017] xxiv, 496 Seiten Illustrationen 23.5 cm x 15.5 cm, 0 g txt rdacontent n rdamedia nc rdacarrier KF Ernst Eberlein Festschrift advanced stochastic models mathematical finance option pricing and hedging processes with jumps statistics term structure models (DE-588)4016928-5 Festschrift gnd-content Kallsen, Jan (DE-588)171738640 edt Papapantoleon, Antonis (DE-588)132826828 edt Eberlein, Ernst 1945- (DE-588)171412842 hnr Springer International Publishing (DE-588)1064344704 pbl Erscheint auch als Online-Ausgabe 978-3-319-45875-5 http://www.springer.com/ Verlag X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=5456294bcc7b44be8864888ddcf608b2&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029307226&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein |
| subject_GND | (DE-588)4016928-5 |
| title | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein |
| title_auth | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein |
| title_exact_search | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein |
| title_full | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein Jan Kallsen, Antonis Papapantoleon, editors |
| title_fullStr | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein Jan Kallsen, Antonis Papapantoleon, editors |
| title_full_unstemmed | Advanced Modeling in Mathematical Finance In Honour of Ernst Eberlein Jan Kallsen, Antonis Papapantoleon, editors |
| title_short | Advanced Modeling in Mathematical Finance |
| title_sort | advanced modeling in mathematical finance in honour of ernst eberlein |
| title_sub | In Honour of Ernst Eberlein |
| topic_facet | Festschrift |
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